Journal of Empirical Finance · VOLUME 40 · JANUARY 2017

时变的连续及跳跃betas：公司特征和危机时期的作用

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：使用高频数据，我们把股票的时变beta分解为连续系统风险的beta和非连续系统风险的beta。2003年-2011年间S&P500指数成分股的非连续beta估计值通常比连续beta估计值高。相比于大盘股，小盘股对于非连续性更加敏感，并且在财务危机期间，高杠杆的股票被暴露更多的系统性风险。一般beta系数值小的股票信用评级会更高，波动性也更小，同时行业效应更加明显。我们使用估计值证明非连续性风险有明显的正溢价，但是连续性风险没有。

关键词：系统性风险，跳跃，股权风险溢价，高频数据

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

原文链接：http://www.sciencedirect.com/science/article/pii/S0927539816301207

翻译：殷曼琳