Macroeconomics variables and corporate events effect on systematic risk according to jump beta
Author(s):
Article Type:
Research/Original Article (دارای رتبه معتبر)
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.
Keywords:
Language:
Persian
Published:
Journal of Investment Knowledge, Volume:8 Issue: 29, 2019
Pages:
13 to 29
magiran.com/p1950904
دانلود و مطالعه متن این مقاله با یکی از روشهای زیر امکان پذیر است:
اشتراک شخصی
با عضویت و پرداخت آنلاین حق اشتراک یکساله به مبلغ 1,390,000ريال میتوانید 70 عنوان مطلب دانلود کنید!
اشتراک سازمانی
به کتابخانه دانشگاه یا محل کار خود پیشنهاد کنید تا اشتراک سازمانی این پایگاه را برای دسترسی نامحدود همه کاربران به متن مطالب تهیه نمایند!
توجه!
- حق عضویت دریافتی صرف حمایت از نشریات عضو و نگهداری، تکمیل و توسعه مگیران میشود.
- پرداخت حق اشتراک و دانلود مقالات اجازه بازنشر آن در سایر رسانههای چاپی و دیجیتال را به کاربر نمیدهد.
In order to view content subscription is required
Personal subscription
Subscribe magiran.com for 70 € euros via PayPal and download 70 articles during a year.
Organization subscription
Please contact us to subscribe your university or library for unlimited access!