• •

### 连续贝塔、非连续贝塔与股票风险溢酬

• 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

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.