Journal of Financial Economics Volume 120, Issue 3, June 2016, Pages 464–490

粗略化貝塔：連續VS不連續貝塔與股票橫截面預期收益

作者：Tim Bollerslev, Sophia Zhengzi Li, Viktor Todorov

摘要：

我們研究了單個股票的價格如何對連續的和跳躍的市場價格變動作出反應，以及不同的市場價格風險或者貝塔如何在股票橫截面預期收益中被定價。我們使用了一套高質量的高頻數據，包括過去二十年将近1000支股票數據，發現與不連續的、隔夜的回報率相關的粗略化的貝塔值包含了顯著的風險溢價，而與連續的回報率相關的貝塔值卻不包含這部分風險溢價。此外，在控制了其他一系列公司特征和其他解釋變量之後，這部分與不連續的、隔夜的回報率相關的貝塔值帶來的高風險溢價仍然顯著。

關鍵字：市場價格風險，跳躍貝塔，高頻數據，橫截面收益變量

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

Tim Bollerslev, Sophia Zhengzi Li, Viktor Todorov

Abstract:

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.

Keywords: Market price risks; Jump betas; High -frequency data; Cross-sectional return variation

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0304405X16300010

翻譯：吳雨玲