Realized Jump Risk and Equity Return in China

CORC > 厦门大学 > 经济学院－已发表论文

	Realized Jump Risk and Equity Return in China
	Chen, Guojin ; Liu, Xiaoqun ; Hsieh, Peilin ; Zhao, Xiangqin ; Chen GJ(陈国进) ; Zhao XQ(赵向琴)
刊名	http://dx.doi.org/10.1155/2014/721635
	2014
关键词	STOCK-MARKET VOLATILITY RARE DISASTERS IDIOSYNCRATIC VOLATILITY LONG-RUN COMPONENTS FRAMEWORK SKEWNESS PUZZLES PREMIUM MODELS
英文摘要	National Science Foundation of China [71071132]; We utilize the realized jump components to explore a new jump (including nonsystematic jump and systematic jump) risk factor model. After estimating daily realized jumps from high-frequency transaction data of the Chinese A-share stocks, we calculate monthly jump size, monthly jump standard deviation, and monthly jump arrival rate and then use those monthly jump factors to explain the return of the following month. Our empirical results show that the jump tail risk can explain the equity return. For the large capital-size stocks, large cap stock portfolios, and index, one-month lagged jump risk factor significantly explains the asset return variation. Our results remain the same even when we add the size and value factors in the robustness tests.
语种	英语
出版者	HINDAWI PUBLISHING CORPORATION
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/90200]
专题	经济学院－已发表论文
推荐引用方式 GB/T 7714	Chen, Guojin,Liu, Xiaoqun,Hsieh, Peilin,et al. Realized Jump Risk and Equity Return in China[J]. http://dx.doi.org/10.1155/2014/721635,2014.
APA	Chen, Guojin,Liu, Xiaoqun,Hsieh, Peilin,Zhao, Xiangqin,陈国进,&赵向琴.(2014).Realized Jump Risk and Equity Return in China.http://dx.doi.org/10.1155/2014/721635.
MLA	Chen, Guojin,et al."Realized Jump Risk and Equity Return in China".http://dx.doi.org/10.1155/2014/721635 (2014).