Macroeconomics variables and corporate events effect on systematic risk according to jump beta

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ASKARINEJAD AMIRI ALI; FADAEI NEJAD MOHAMMAD ESMAEEL; Assadi Gholamhossein

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Journal: INVESTMENT KNOWLEDGE Year:2019 | Volume:8 | Issue:29 Page(s): 13-29

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Title

Macroeconomics variables and corporate events effect on systematic risk according to jump beta

Author(s)

ASKARINEJAD AMIRI ALI | FADAEI NEJAD MOHAMMAD ESMAEEL | Assadi Gholamhossein | Issue Writer Certificate

Keywords

systematic riskQ1

jump betaQ1

event studyQ1

high-frequency dataQ1

pricing modelQ1

Abstract

We suppose jump beta and continuous beta as two indexes of systematic risk, then studying macroeconomics variables and corporate events effects on them. The results shows that macroeconomics variables effect on continuous beta is greater than its effect on jump beta. While inflation rate has no sensible effect on both betas, growth rate increase causes increase in both and exchange rate increase causes decrease in both betas. The decrease is for times greater in jump beta. According to event study, two or three weeks before capital increase, considerable decrease in jump beta and a week before capital increase, sensible increase in continuous beta are seen. As observed about profit announcement event, news of positive adjustments reach sooner to market than negative adjustments. Positive adjustment cause a little increase in continuous beta, three or four weeks before event and negative adjustment cause considerable decrease in continuous beta around event, while profit announcement has no effect on jump beta.

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APA: Copy

ASKARINEJAD AMIRI, ALI, FADAEI NEJAD, MOHAMMAD ESMAEEL, & Assadi, Gholamhossein. (2019). Macroeconomics variables and corporate events effect on systematic risk according to jump beta. INVESTMENT KNOWLEDGE, 8(29 ), 13-29. SID. https://sid.ir/paper/188152/en

Vancouver: Copy

ASKARINEJAD AMIRI ALI, FADAEI NEJAD MOHAMMAD ESMAEEL, Assadi Gholamhossein. Macroeconomics variables and corporate events effect on systematic risk according to jump beta. INVESTMENT KNOWLEDGE[Internet]. 2019;8(29 ):13-29. Available from: https://sid.ir/paper/188152/en

IEEE: Copy

ALI ASKARINEJAD AMIRI, MOHAMMAD ESMAEEL FADAEI NEJAD, and Gholamhossein Assadi, “Macroeconomics variables and corporate events effect on systematic risk according to jump beta,” INVESTMENT KNOWLEDGE, vol. 8, no. 29 , pp. 13–29, 2019, [Online]. Available: https://sid.ir/paper/188152/en

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