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Time-varying continuous and jump betas: The role of firm characteristics and periods of stress

Citation

Alexeev, V and Dungey, M and Yao, W, Time-varying continuous and jump betas: The role of firm characteristics and periods of stress, Journal of Empirical Finance, 40 pp. 1-19. ISSN 0927-5398 (2017) [Refereed Article]


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Copyright Statement

Crown Copyright 2016

DOI: doi:10.1016/j.jempfin.2016.11.002

Abstract

Using high frequency data we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents over 2003-2011 generally exceed the corresponding continuous betas. Smaller stocks are more sensitive to discontinuities than their larger counterparts, and during periods of financial distress, high leverage stocks are more exposed to systematic risk. Higher credit ratings and lower volatility are each associated with smaller betas. Industry effects are also apparent. We use the estimates to show that discontinuous risk carries a significantly positive premium, but continuous risk does not.

Item Details

Item Type:Refereed Article
Keywords:systematic risk, jumps, equity risk premium, high-frequency data
Research Division:Economics
Research Group:Applied Economics
Research Field:Economic Development and Growth
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Savings and Investments
Author:Alexeev, V (Dr Vitali Alexeev)
Author:Dungey, M (Professor Mardi Dungey)
Author:Yao, W (Dr Wenying Yao)
ID Code:112873
Year Published:2017
Funding Support:Australian Research Council (DP130100168)
Deposited By:Economics and Finance
Deposited On:2016-12-01
Last Modified:2017-11-21
Downloads:0

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