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

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• 作者：Vitali Alexeev^a ; ^{Vitali.Alexeev@uts.edu.au} ; Mardi Dungey^b ; ^{Mardi.Dungey@utas.edu.au} ; Wenying Yao^c ; ^{Wenying.Yao@utas.edu.au}
• 关键词：C58 ; G11 ; G01
• 刊名：Journal of Empirical Finance
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：40
• 期：Complete
• 页码：1-19
• 全文大小：1849 K
• 卷排序：40

文摘

We distinguish between the continuous and the jump systematic risk components. On average the jump sensitivities are usually 30%–40% higher than the continuous ones. Discontinuous risk carries a significantly positive premium while continuous risk does not. There are substantial differences in systematic risk components among sectors in the economy. Small, illiquid, and highly leveraged firms seem to have higher systematic risks.