Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns
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DOI: 10.1016/j.jfineco.2016.02.001
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Keywords
Market price risks; Jump betas; High-frequency data; Cross-sectional return variation;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Statistics
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