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• W2942204453 abstract "Using an extension of the standard CAPM beta we decompose the beta of Japanesebanking stocks into diffusion and jump components using high frequency data from 2001to 2012. We find that jump betas on average are larger than diffusion betas, indicatingthat Japanese banking stocks respond differently to information associated withcontinuous and discontinuous market movements. Larger banks are more sensitive todiscontinuities than their counterparts; high leveraged banks are more exposed tounexpected market-wide news whereas profitable banks are equally sensitive to bothcontinuous and jump market moves. By allowing for asymmetric preferences of investorsfor losses versus gains we show that diffusion and jump betas both carry large premia inboth up and down markets, but that these premia differ substantially during periods ofeconomic stress from those present during normal conditions." @default.
• W2942204453 created "2019-05-03" @default.
• W2942204453 creator A5021226211 @default.
• W2942204453 creator A5025255035 @default.
• W2942204453 date "2019-03-01" @default.
• W2942204453 modified "2023-09-27" @default.
• W2942204453 title "An empirical examination of the jump and diffusion aspects of asset pricing: Japanese evidence" @default.
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