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

Alexeev, V; Dungey, M; Yao, W

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

Alexeev, V

Dungey, M Yao, W

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Publication Type:: Journal Article
Citation:: Journal of Empirical Finance, 2017, 40 pp. 1 - 19
Issue Date:: 2017-01-01

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Field	Value	Language
dc.contributor.author	Alexeev, V https://orcid.org/0000-0003-3092-2500	en_US
dc.contributor.author	Dungey, M	en_US
dc.contributor.author	Yao, W	en_US
dc.date.available	2020-05-25T19:15:09Z
dc.date.issued	2017-01-01	en_US
dc.identifier.citation	Journal of Empirical Finance, 2017, 40 pp. 1 - 19	en_US
dc.identifier.issn	0927-5398	en_US
dc.identifier.uri	http://hdl.handle.net/10453/60889
dc.description.abstract	© 2016 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.	en_US
dc.relation.ispartof	Journal of Empirical Finance	en_US
dc.relation.isbasedon	10.1016/j.jempfin.2016.11.002	en_US
dc.subject.classification	Finance	en_US
dc.title	Time-varying continuous and jump betas: The role of firm characteristics and periods of stress	en_US
dc.type	Journal Article
utslib.citation.volume	40	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1403 Econometrics	en_US
utslib.for	1402 Applied Economics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	open_access
pubs.publication-status	Published	en_US
pubs.volume	40	en_US

Abstract:

© 2016 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.

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http://hdl.handle.net/10453/60889