This paper investigates the cross-sectional asset pricing for intra-day return curves. By introducing a functional Fama-MacBeth regression approach, the validation of the intra-day risk premium associated with the Fama-French Carhart factors is examined. The empirical evidence reveals that these common risk factors show weak explainability to the entire cross-sectional intra-day returns, despite significant risk premiums that are discovered in specific half-hour time-spans in bullish sentiment.

中文翻译：

---

验证横截面收益曲线中的日内风险溢价

本文研究了日内收益率曲线的横截面资产定价。通过引入功能 Fama-MacBeth 回归方法，检查与 Fama-French Carhart 因子相关的日内风险溢价的验证。经验证据表明，尽管在看涨情绪的特定半小时时间跨度内发现了显着的风险溢价，但这些常见风险因素对整个横截面日内回报的可解释性较弱。