Time-varying continuous and jump betas: the role of firm characteristics and periods of stress Alexeev, Vitali, Dungey, Mardi and Yao, Wenying 2017, Time-varying continuous and jump betas: the role of firm characteristics and periods of stress, Journal of empirical finance, vol. 40, pp. 1-19, doi: 10.1016/j.jempfin.2016.11.002. Attached Files Name Description MIMEType Size Downloads Title Time-varying continuous and jump betas: the role of firm characteristics and periods of stress Author(s) Alexeev, Vitali Dungey, Mardi Yao, Wenying orcid.org/0000-0001-6368-0160 Journal name Journal of empirical finance Volume number 40 Start page 1 End page 19 Total pages 19 Publisher Elsevier Place of publication Amsterdam, The Netherlands Publication date 2017-01 ISSN 0927-5398 Keyword(s) systematic risk jumps equity risk premium high-frequency data Summary 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. Language eng DOI 10.1016/j.jempfin.2016.11.002 Field of Research 150202 Financial Econometrics 1502 Banking, Finance And Investment 1403 Econometrics Socio Economic Objective 919999 Economic Framework not elsewhere classified HERDC Research category C1 Refereed article in a scholarly journal ERA Research output type C Journal article Copyright notice ©2016, Crown Copyright Persistent URL http://hdl.handle.net/10536/DRO/DU:30088926 Document type: Journal Article Collections: Faculty of Business and Law Department of Economics Related Links Link Description Connect to published version Go to link with your DU access privileges     Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. Versions Version Filter Type Tue, 15 Nov 2016, 18:06:01 EST Wed, 16 Nov 2016, 04:01:21 EST Wed, 16 Nov 2016, 07:12:12 EST Wed, 11 Jan 2017, 10:02:50 EST Wed, 08 Feb 2017, 05:03:53 EST Tue, 14 Feb 2017, 15:55:18 EST Tue, 14 Feb 2017, 15:57:08 EST Sat, 18 Aug 2018, 02:30:54 EST Filtered Full Citation counts:   Cited 9 times in TR Web of Science Cited 10 times in Scopus Search Google Scholar Access Statistics: 385 Abstract Views, 1 File Downloads  -  Detailed Statistics Created: Tue, 15 Nov 2016, 18:06:01 EST

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