英文文献：Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns-粗糙的贝塔:连续和不连续贝塔，以及预期股票回报的横截面
英文文献作者：Tim Bollerslev,Sophia Zhengzi Li,Viktor Todorov
英文文献摘要：
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.

受一个风式化的均衡定价框架的影响，我们实证地调查个别股票价格如何回应连续的，或平稳的，“和跳跃的，或粗糙的”市场价格变动，以及这些不同的市场价格风险，或贝塔，是如何在预期回报横截面中定价的。基于近20年的近1000只个股的高频数据集，我们发现与日内间断和隔夜收益相关的两个粗略贝塔系数具有显著的风险溢价，而日内连续贝塔系数没有在横截面中定价。做多跳高测试者的股票和做空跳低测试者的股票的投资策略可以产生显著的平均超额回报。在控制了一长串其他公司特征和先前与预期股票回报横截面相关的解释变量之后，不连续和隔夜市场beta测试的较高风险溢价仍然显著。