Matches in SemOpenAlex for { <https://semopenalex.org/work/W2300693621> ?p ?o ?g. }
Showing items 1 to 93 of
93
with 100 items per page.
- W2300693621 abstract "Motivated by the implications from a stylized equilibrium pricing framework, we investigate empirically how individual equity prices respond to continuous, or smooth, and jumpy, or rough, market price moves, and how these different market price risks, or betas, are priced in the cross-section of expected returns. Based on a novel highfrequency dataset of almost one-thousand individual 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 is not priced in the cross-section. An investment strategy that goes long stocks with high jump betas and short stocks with low jump betas produces significant average excess returns. 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 previously associated with the cross-section of expected stock returns." @default.
- W2300693621 created "2016-06-24" @default.
- W2300693621 creator A5015011907 @default.
- W2300693621 creator A5058319499 @default.
- W2300693621 creator A5078291617 @default.
- W2300693621 date "2014-12-04" @default.
- W2300693621 modified "2023-09-27" @default.
- W2300693621 title "Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns" @default.
- W2300693621 hasPublicationYear "2014" @default.
- W2300693621 type Work @default.
- W2300693621 sameAs 2300693621 @default.
- W2300693621 citedByCount "2" @default.
- W2300693621 countsByYear W23006936212014 @default.
- W2300693621 countsByYear W23006936212015 @default.
- W2300693621 crossrefType "posted-content" @default.
- W2300693621 hasAuthorship W2300693621A5015011907 @default.
- W2300693621 hasAuthorship W2300693621A5058319499 @default.
- W2300693621 hasAuthorship W2300693621A5078291617 @default.
- W2300693621 hasConcept C106159729 @default.
- W2300693621 hasConcept C121332964 @default.
- W2300693621 hasConcept C127413603 @default.
- W2300693621 hasConcept C139719470 @default.
- W2300693621 hasConcept C149782125 @default.
- W2300693621 hasConcept C151730666 @default.
- W2300693621 hasConcept C162324750 @default.
- W2300693621 hasConcept C17744445 @default.
- W2300693621 hasConcept C181236170 @default.
- W2300693621 hasConcept C199360897 @default.
- W2300693621 hasConcept C199539241 @default.
- W2300693621 hasConcept C199728807 @default.
- W2300693621 hasConcept C204036174 @default.
- W2300693621 hasConcept C2776174256 @default.
- W2300693621 hasConcept C2779343474 @default.
- W2300693621 hasConcept C2780695682 @default.
- W2300693621 hasConcept C2991665230 @default.
- W2300693621 hasConcept C38935604 @default.
- W2300693621 hasConcept C41008148 @default.
- W2300693621 hasConcept C556758197 @default.
- W2300693621 hasConcept C62520636 @default.
- W2300693621 hasConcept C78519656 @default.
- W2300693621 hasConcept C80212096 @default.
- W2300693621 hasConcept C86803240 @default.
- W2300693621 hasConceptScore W2300693621C106159729 @default.
- W2300693621 hasConceptScore W2300693621C121332964 @default.
- W2300693621 hasConceptScore W2300693621C127413603 @default.
- W2300693621 hasConceptScore W2300693621C139719470 @default.
- W2300693621 hasConceptScore W2300693621C149782125 @default.
- W2300693621 hasConceptScore W2300693621C151730666 @default.
- W2300693621 hasConceptScore W2300693621C162324750 @default.
- W2300693621 hasConceptScore W2300693621C17744445 @default.
- W2300693621 hasConceptScore W2300693621C181236170 @default.
- W2300693621 hasConceptScore W2300693621C199360897 @default.
- W2300693621 hasConceptScore W2300693621C199539241 @default.
- W2300693621 hasConceptScore W2300693621C199728807 @default.
- W2300693621 hasConceptScore W2300693621C204036174 @default.
- W2300693621 hasConceptScore W2300693621C2776174256 @default.
- W2300693621 hasConceptScore W2300693621C2779343474 @default.
- W2300693621 hasConceptScore W2300693621C2780695682 @default.
- W2300693621 hasConceptScore W2300693621C2991665230 @default.
- W2300693621 hasConceptScore W2300693621C38935604 @default.
- W2300693621 hasConceptScore W2300693621C41008148 @default.
- W2300693621 hasConceptScore W2300693621C556758197 @default.
- W2300693621 hasConceptScore W2300693621C62520636 @default.
- W2300693621 hasConceptScore W2300693621C78519656 @default.
- W2300693621 hasConceptScore W2300693621C80212096 @default.
- W2300693621 hasConceptScore W2300693621C86803240 @default.
- W2300693621 hasLocation W23006936211 @default.
- W2300693621 hasOpenAccess W2300693621 @default.
- W2300693621 hasPrimaryLocation W23006936211 @default.
- W2300693621 hasRelatedWork W2034960998 @default.
- W2300693621 hasRelatedWork W2036251761 @default.
- W2300693621 hasRelatedWork W2051235503 @default.
- W2300693621 hasRelatedWork W2118775685 @default.
- W2300693621 hasRelatedWork W231344693 @default.
- W2300693621 hasRelatedWork W2891003726 @default.
- W2300693621 hasRelatedWork W2895182425 @default.
- W2300693621 hasRelatedWork W2963327618 @default.
- W2300693621 hasRelatedWork W3023591372 @default.
- W2300693621 hasRelatedWork W3121180265 @default.
- W2300693621 hasRelatedWork W3121434763 @default.
- W2300693621 hasRelatedWork W3122843846 @default.
- W2300693621 hasRelatedWork W3123280823 @default.
- W2300693621 hasRelatedWork W3123808625 @default.
- W2300693621 hasRelatedWork W3124232363 @default.
- W2300693621 hasRelatedWork W3124744981 @default.
- W2300693621 hasRelatedWork W3125385958 @default.
- W2300693621 hasRelatedWork W3125718799 @default.
- W2300693621 hasRelatedWork W3135614427 @default.
- W2300693621 hasRelatedWork W2143673907 @default.
- W2300693621 isParatext "false" @default.
- W2300693621 isRetracted "false" @default.
- W2300693621 magId "2300693621" @default.
- W2300693621 workType "article" @default.