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

Subject Areas : Journal of Investment Knowledge

Ali  Askarinejad Amiri ¹ (PhD Candidate in Finance, Shahid Beheshti University, Tehran, Iran (Corresponding Author))
Mohammad E.  FadaeiNejad ² (Associate Professor in Finance, Shahid Beheshti University, Tehran, Iran)
GholamHossein  Assadi ³ (Associate Professor in Finance, Shahid Beheshti University, Tehran, Iran)

Received: 2017-05-22 Accepted : 2017-09-12 Published : 2019-03-21

Keywords: systematic risk, jump beta, event study, high-frequency data, pricing model,

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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