Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns
Publication
, Journal Article
Bollerslev, T; Li, SZ; Todorov, V
Published in: Journal of Financial Economics
June 1, 2016
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.
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Published In
Journal of Financial Economics
DOI
ISSN
0304-405X
Publication Date
June 1, 2016
Volume
120
Issue
3
Start / End Page
464 / 490
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1606 Political Science
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
Citation
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Bollerslev, T., Li, S. Z., & Todorov, V. (2016). Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns. Journal of Financial Economics, 120(3), 464–490. https://doi.org/10.1016/j.jfineco.2016.02.001
Bollerslev, T., S. Z. Li, and V. Todorov. “Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns.” Journal of Financial Economics 120, no. 3 (June 1, 2016): 464–90. https://doi.org/10.1016/j.jfineco.2016.02.001.
Bollerslev T, Li SZ, Todorov V. Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns. Journal of Financial Economics. 2016 Jun 1;120(3):464–90.
Bollerslev, T., et al. “Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns.” Journal of Financial Economics, vol. 120, no. 3, June 2016, pp. 464–90. Scopus, doi:10.1016/j.jfineco.2016.02.001.
Bollerslev T, Li SZ, Todorov V. Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns. Journal of Financial Economics. 2016 Jun 1;120(3):464–490.
Published In
Journal of Financial Economics
DOI
ISSN
0304-405X
Publication Date
June 1, 2016
Volume
120
Issue
3
Start / End Page
464 / 490
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1606 Political Science
- 1502 Banking, Finance and Investment
- 1402 Applied Economics