统计研究 ›› 2019, Vol. 36 ›› Issue (2): 112-123.doi: 10.19343/j.cnki.11-1302/c.2019.02.010

• • 上一篇    

连续贝塔、非连续贝塔与股票风险溢酬

陈淼鑫 赖云清   

  • 出版日期:2019-02-25 发布日期:2019-03-07

Continuous Beta vs. Discontinuous Beta and Stock Risk Premium

Chen Miaoxin & Lai Yunqing   

  • Online:2019-02-25 Published:2019-03-07

摘要: 本文利用高频数据将传统的CAPM贝塔分解为连续贝塔和非连续贝塔(跳跃贝塔和隔夜贝塔),并在此基础上进一步考虑正向市场和负向市场的非对称性,将跳跃贝塔又细分为正向跳跃贝塔和负向跳跃贝塔,以探讨不同类型系统性风险的特征差异及其所对应的风险溢酬。实证结果表明,个股对市场发生的非连续变动比连续变动更加敏感,投资者对市场发生的负向跳跃比正向跳跃反应更加强烈;中国股票市场上的系统性非连续风险溢酬(跳跃风险溢酬和隔夜风险溢酬)显著为正,但系统性连续风险并没有得到定价;其中,跳跃风险溢酬则主要来源于对系统性负向跳跃风险的补偿,而正向跳跃风险对股票横截面收益率没有显著的影响。

关键词: 连续贝塔, 非连续贝塔, 股票风险溢酬

Abstract: Using high frequency data, this paper decomposes the standard CAPM beta into three separate market betas: a continuous beta reflecting smooth intraday co-movements with the market, and two discontinuous betas (jump beta and overnight beta) associated with intraday and overnight price discontinuities. Taking stock of the asymmetry in stock market sensitivities to positive and negative market jump, this paper studies the characteristic differences in various systematic risks and their relevant risk premiums by decomposing the jump beta into positive and negative jump beta. The empirical results show that an individual stock share is more sensitive to discontinuous market movement than continuous market change, and investors respond more strongly to negative than positive market jumps. It is found that the two discontinuous betas (jump beta and overnight beta) entail significantly positive risk premium, while the intraday continuous beta does not. Moreover, the systematic jump risk premium mainly comes from the compensation for systematic negative jump risks, while the systematic positive jump risk has no significant effect on stock cross-section return rates.

Key words: Continuous Beta, Discontinuous Beta, Stock Risk Premium