Open Access Repository

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

Alexeev, V ORCID: 0000-0003-3092-2500, Dungey, M ORCID: 0000-0003-0074-2314 and Yao, W ORCID: 0000-0001-6368-0160 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.

Full text not available from this repository.


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 Type: Article
Authors/Creators:Alexeev, V and Dungey, M and Yao, W
Keywords: systematic risk, jumps, equity risk premium, high-frequency data
Journal or Publication Title: Journal of Empirical Finance
Publisher: Elsevier BV
ISSN: 0927-5398
DOI / ID Number: 10.1016/j.jempfin.2016.11.002
Copyright Information:

Crown Copyright 2016

Related URLs:
Item Statistics: View statistics for this item

Actions (login required)

Item Control Page Item Control Page