دانلود مقاله ISI انگلیسی شماره 90235
عنوان انگلیسی
Systematic cojumps, market component portfolios and scheduled macroeconomic announcements
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
90235 2017 16 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Empirical Finance, Volume 43, September 2017, Pages 43-58

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پیش نمایش مقاله

چکیده انگلیسی

This study provides evidence of common bivariate jumps (i.e., systematic cojumps) between the market index and style-sorted portfolios. Systematic cojumps are prevalent in book-to-market portfolios and hence, their risk cannot easily be diversified away by investing in growth or value stocks. Nonetheless, large-cap firms have less exposure to systematic cojumps than small-cap firms. Probit regression reveals that systematic cojump occurrences are significantly associated with worse-than-expected scheduled macroeconomic announcements, especially those pertaining to the Federal Funds target rate. Tobit regression shows that Federal Funds news surprises are also significantly related to the magnitude of systematic cojumps.