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First, that's a common thing in active hours. Since you are dealing with fx, you should ask Hotspot representative what kind of liquidity are you getting. Usually, if you want to aggress on those crossing prices, you won't be able to. Imagine everybody trying to do arb on that. So, ask Hotspot what kind of liquidity they are sending you.


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Why are you using only stock returns? Do you Mean you're using portfolios or individual stocks? The latter is a tough sell, and I wouldn't recommend it. Running regressions on portfolios is far more standard. So, now, motivating the models: If you want to take a theoretical stance, recent(ish) work in asset pricing has focused on grounding the Fama-French ...


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The dividend yield can be computed from the forward prices. However, in practice (e.g., in Bloomberg), the realized dividend yield is computed as the sum of the dividend payments from the whole past year divided by the current equity (stock or index) price, while the implied dividend yield is computed as the sum of the forecast dividend payments, over the ...



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