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【JFE】粗略化贝塔:连续VS不连续贝塔与股票横截面预期收益

[发布日期]:2016-06-24  [浏览次数]:

Journal of Financial Economics Volume 120, Issue 3, June 2016, Pages 464–490

粗略化贝塔:连续VS不连续贝塔与股票横截面预期收益

作者:Tim Bollerslev, Sophia Zhengzi Li, Viktor Todorov

摘要:

我们研究了单个股票的价格如何对连续的和跳跃的市场价格变动作出反应,以及不同的市场价格风险或者贝塔如何在股票横截面预期收益中被定价。我们使用了一套高质量的高频数据,包括过去二十年将近1000支股票数据,发现与不连续的、隔夜的回报率相关的粗略化的贝塔值包含了显著的风险溢价,而与连续的回报率相关的贝塔值却不包含这部分风险溢价。此外,在控制了其他一系列公司特征和其他解释变量之后,这部分与不连续的、隔夜的回报率相关的贝塔值带来的高风险溢价仍然显著。

关键字:市场价格风险,跳跃贝塔,高频数据,横截面收益变量

Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns

Tim Bollerslev, Sophia Zhengzi Li, Viktor Todorov

Abstract:

We investigate how individual equity prices respond to continuous and jumpy market price moves and how these different market price risks, or betas, are priced in the cross section of expected stock returns. Based on a novel high-frequency data set of almost 1,000 stocks over two decades, we find that the two rough betas associated with intraday discontinuous and overnight returns entail significant risk premiums, while the intraday continuous beta does not. These higher risk premiums for the discontinuous and overnight market betas remain significant after controlling for a long list of other firm characteristics and explanatory variables.

Keywords: Market price risks; Jump betas; High -frequency data; Cross-sectional return variation

原文链接:http://www.sciencedirect.com/science/article/pii/S0304405X16300010

翻译:吴雨玲



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