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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]
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: | Human Society |
| Research Group: | Policy and administration |
| Research Field: | Economic development policy |
| Objective Division: | Economic Framework |
| Objective Group: | Macroeconomics |
| Objective Field: | Savings and investments |
| UTAS Author: | Alexeev, V (Dr Vitali Alexeev) |
| UTAS Author: | Dungey, M (Professor Mardi Dungey) |
| UTAS Author: | Yao, W (Dr Wenying Yao) |
| ID Code: | 112873 |
| Year Published: | 2017 |
| Funding Support: | Australian Research Council (DP130100168) |
| Web of Science® Times Cited: | 9 |
| Deposited By: | TSBE |
| Deposited On: | 2016-12-01 |
| Last Modified: | 2018-11-26 |
| Downloads: | 0 |
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