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

• 成果类型: Article
• 署名作者: Bollerslev, Tim; Li, Sophia Zhengzi; Todorov, Viktor
• 署名单位: Duke University; National Bureau of Economic Research; CREATES; Michigan State University; Michigan State University's Broad College of Business; Northwestern University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.02.001
• 发表日期: 2016
• 页码: 464-490
• 关键词: Market price risks; Jump betas; high-frequency data; Cross-sectional return variation

摘要

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. (C) 2016 Published by Elsevier B.V.