Roughing up beta : continuous versus discontinuous betas and the cross section of expected stock returns
Tim Bollerslev, Sophia Zhengzi Li, Viktor Todorov
| Year of publication: |
June 2016
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|---|---|
| Authors: | Bollerslev, Tim ; Li, Sophia Zhengzi ; Todorov, Viktor |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 120.2016, 3, p. 464-490
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| Subject: | Market price risks | Jump betas | High-frequency data | Cross-sectional return variation | CAPM | Betafaktor | Beta risk | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Risikoprämie | Risk premium | Kapitalmarktrendite | Capital market returns | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2016.02.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011590229