Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/171878 
Erscheinungsjahr: 
2016
Quellenangabe: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 4 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2016 [Pages:] 1-15
Verlag: 
MDPI, Basel
Zusammenfassung: 
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 between 2003 and 2011 generally exceed the corresponding continuous betas. We demonstrate how continuous and discontinuous betas decrease with portfolio diversification. Using an equiweighted broad market index, we assess the speed of convergence of continuous and discontinuous betas in portfolios of stocks as the number of holdings increase. We show that discontinuous risk dissipates faster with fewer stocks in a portfolio compared to its continuous counterpart.
Schlagwörter: 
systematic risk
jump diffusion
portfolio diversification
high-frequency data
JEL: 
C58
G11
C61
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