Journal of Empirical Finance · VOLUME 40 · JANUARY 2017

時變的連續及跳躍betas：公司特征和危機時期的作用

作者：Vitali Alexeev (UTS Business School, University of Technology Sydney), Mardi Dungey (Tasmanian School of Business and Economics, University of Tasmania), Wenying Yao (Deakin Business School, Deakin University)

摘要：使用高頻數據，我們把股票的時變beta分解為連續系統風險的beta和非連續系統風險的beta。2003年-2011年間S&P500指數成分股的非連續beta估計值通常比連續beta估計值高。相比于大盤股，小盤股對于非連續性更加敏感，并且在财務危機期間，高杠杆的股票被暴露更多的系統性風險。一般beta系數值小的股票信用評級會更高，波動性也更小，同時行業效應更加明顯。我們使用估計值證明非連續性風險有明顯的正溢價，但是連續性風險沒有。

關鍵詞：系統性風險，跳躍，股權風險溢價，高頻數據

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

Vitali Alexeev (UTS Business School, University of Technology Sydney), Mardi Dungey (Tasmanian School of Business and Economics, University of Tasmania), Wenying Yao (Deakin Business School, Deakin University)

ABSTRACT

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.

Keywords: Systematic risk; Jumps; Equity risk premium; High-frequency data

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0927539816301207

翻譯：殷曼琳