Spiegel is from the Haas School of Business, University of California, Berkeley. Subrahmanyam is from the Graduate School of Business, Columbia University and the Anderson Graduate School of Management, University of California, Los Angeles. An earlier version of this article was entitled “Intraday Risk Premia in a Continuous Time Market.” We thank two anonymous referees, the editor (René Stulz), Michael Brennan, Jerome Detemple, Darrell Duffie, Will Goetzmann, Pete Kyle, Erzo Luttmer, Ananth Madhavan, Chester Spatt, Hans Stoll, Suresh Sundaresan, Robert Verrecchia, Jean-Luc Vila, and participants at the Wharton School and Vanderbilt University finance seminar series, the 1992 New York Stock Exchange/University of California, Los Angeles/University of Southern California conference on market microstructure, the 1992 conference of the French Finance Association, the 1993 Winter Meetings of the Econometric Society, and the 1993 Western Finance Association Meetings for valuable comments and suggestions. In addition, we are indebted to Larry Glosten and Mark Lowenstein for pointing out an error in an earlier version and for several other insights. All errrors are our sole responsibility.
On Intraday Risk Premia
Article first published online: 30 APR 2012
1995 The American Finance Association
The Journal of Finance
Volume 50, Issue 1, pages 319–339, March 1995
How to Cite
SPIEGEL, M. and SUBRAHMANYAM, A. (1995), On Intraday Risk Premia. The Journal of Finance, 50: 319–339. doi: 10.1111/j.1540-6261.1995.tb05176.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
Options for accessing this content:
- Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
- You can purchase online access to this Article for a 24-hour period (price varies by title)
- New Users: Please register, then proceed to purchase the article.
Login via OpenAthens
Search for your institution's name below to login via Shibboleth.
Registered Users please login:
- Access your saved publications, articles and searches
- Manage your email alerts, orders and subscriptions
- Change your contact information, including your password
Please register to:
- Save publications, articles and searches
- Get email alerts
- Get all the benefits mentioned below!