, while the time span of the data remains fixed, and the cross-sectional dimension is fixed or increasing. We derive a Central … Limit Theorem (CLT) for the cross-sectional beta dispersion at a point in time, enabling us to test whether this quantity … beta dispersion, as a function of time-of-day, changes across days. We extend this further by developing inference …

, while the time span of the data remains fixed, and the cross-sectional dimension is fixed or increasing. We derive a Central … Limit Theorem (CLT) for the cross-sectional beta dispersion at a point in time, enabling us to test whether this quantity … beta dispersion, as a function of time-of-day, changes across days. We extend this further by developing inference …

The stock beta coefficient literature extensively discusses the proper methods for the estimation of beta as well as … its use in asset valuation. However, there are fewer references with respect to the appropriate time horizon that … investors should utilize when evaluating the risk-return relationship of a stock. We examine the appropriate time horizon for …

relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market …