An Anatomy of Asset Returns
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Series
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SpeakersRoberto Renò (ESSEC Business School, France)
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FieldEconometrics, Data Science and Econometrics
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LocationTinbergen Institute Amsterdam, Roeterseiland campus, E5.07
Amsterdam -
Date and time
March 13, 2026
12:30 - 13:30
Abstract
A semi-martingale decomposes asset returns into a drift, volatility and jump components. With a novel methodology based on half-power auto-covariances, we decompose the observed return into these three components using high-frequency data. In particular, we are able to separate, at second order, drift from leverage, delivering a new estimator of the leverage effect. The decomposition allows to uncover new findings on the overnight/day return reversals in US stocks and futures. Joint work with work with Shuping Shi.