On Intraday Risk Premia
构建了一个分析预期大额需求压力对资产风险溢价动态影响的框架，发现大型机构会选择在开盘或需求压力异常时交易，且若在午后入场会与持续提供流动性的机构同向交易，呈现“羊群效应”。
ABSTRACT This article presents a framework for analyzing the dynamic effects of anticipated large demand pressures on asset risk premia. We show that large institutions who can time their entry into the market will trade either at the open, or during periods of unusual demand pressures. We show that if these institutions do enter later in the day, they trade in the same direction as institutions which provide liquidity continuously; institutions therefore appear to exhibit “herding” behavior. We also explore how changing the uncertainty of demand pressures late in the day affects trading costs throughout the day.