Realized semibetas: Disentangling “good” and “bad” downside risks

Higher‐order moments and asset pricing in the Australian stock market

“…We also note that downside beta and upside kappa result in substantial losses for investors' holding such risks; this is consistent with the portfolio sort in Table 3. The direction and significance of the upside and downside beta are consistent with the four‐way beta decomposition method employed by Bollerslev et al (2021). Model (10) shows that both upside and downside beta, gamma, and kappa risk are robust when we control for a set of firm characteristics.…”

Sluggish news reactions: A combinatorial approach for synchronizing stock jumps

“…Estimating realized covariance matrices with synchronized stock returns, as opposed to raw returns, improves out-of-sample portfolio performance. Recovering the common jump on a fine sampling grid is likely to improve other asset allocation and risk management decisions, like estimating the jump size distribution (see e.g., Boudt et al, 2011a), estimating jump dependence (see e.g., Li, Todorov, Tauchen, and Chen, 2017;Li, Todorov, Tauchen, and Lin, 2019) or forecasting realized measures (see e.g., Andersen et al, 2007;Bollerslev et al 2020;Bollerslev et al, 2022). A more thorough analysis must, however, await future work.…”

How does management respond to stock price crashes?

“…Later, we include the US state-wide unemployment rate in our sample from the U.S. Bureau Of Labor Statistics [17]. Following Bollerslev et al (2022), we exclude all "penny stocks" with prices less than five dollars from our sample to alleviate biases arising from price discreteness. Finally, our sample is comprised of 101,532 firm-year observations with 11,727 unique firms.…”