An Empirical Examination of Jump Risk and Continuous Risk in U.S. REITs Market
This paper utilizes recent advances in econometric theory, developed by Anderson, Bollerslev, and Diebold (2007), Barndorff-Nielsen and Shephard (2004), and Tauchen and Zhou (2006), to effectively separate the continuous and jump components of all REITs.By this econometric technique, we investigate whether different types (equity,mortgage, and hybrid type) of U.S.REITs markets has significant jump phenomenon.In addition, we further decompose each of the volatility components into continuous systematic risk and jump systematic risk by extending CAPM and two-factor models.By decomposing, we intend to discuss that is the jump beta risk higher than continuous beta risk? Is the jump beta risk and continuous beta risk asymmetric? And we intend to investigate that is jump risk almost systematic or idiosyncratic (nonsystematic)?
asset price volatility REITs asymmetric continuous beta asymmetric jump beta idiosyncratic risk
Chia-Chien Chang Chiu-Fen Kao Tsung-Li Chi Sheng-Jung Li
Department of Finance,National Kaohsiung University of Applied Science,415 Chien Kung Road,Sanmin Di Department of Finance,National Sun Yat-sen University No.70,Lienhai Rd.,Kaohsiung 80424,Taiwan Department of Applied Mathematics,I Shou University No.1,Sec.1,Syuecheng Rd.,Dashu District,Kaohsiun Department and Graduate School of Insurance and Finance,Shu-Te University No.59,Hengshan Rd.,Yanchao
国内会议
珠海·澳门
英文
1169-1187
2012-07-01（万方平台首次上网日期，不代表论文的发表时间）