discontinuous and overnight returns entail significant risk premiums, while the intraday continuous beta does not. These higher risk …

We propose new refined measures of the local covariation between the return on an asset and a risk factor. Our proposed … show how the resulting granular beta functions may be used in the estimation of new "risk premium functions." Implementing … traditional (non-granular) CAPM, the Fama-French three and five-factor models, and the Fama-French-Carhart model in favor of the …