The High-Frequency Factor Zoo

I construct a novel dataset of 224 high-frequency factor portfolios in order to study the cross-section of expected returns in a continuous-time setting. I estimate the continuous and semijump risk premia for each of these factors. I find that jump and semijump risk are often priced and command a larger risk premia than continuous risk; there only a few clusters of factors, corresponding to less than a third of the zoo, with significant continuous and semijump risk premia. Additionally, I decompose cross-sectional variation in expected returns into variation from exposure to the continuous and jump factor risk. I find that the majority of cross-sectional variation comes from jump risk and that most stocks command significant jump risk premia.