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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.

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Title Time-varying continuous and jump betas: the role of firm characteristics and periods of stress
Author(s) Alexeev, Vitali
Dungey, Mardi
Yao, WenyingORCID iD for 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
Collection: Department of Economics
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