Department of Economics and Business Economics

Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns

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Roughing up beta : Continuous versus discontinuous betas and the cross section of expected stock returns. / Bollerslev, Tim; Li, Sophia Zhengzi; Todorov, Viktor.

In: Journal of Financial Economics, Vol. 120, No. 3, 2016, p. 464–490.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

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Bollerslev, Tim ; Li, Sophia Zhengzi ; Todorov, Viktor. / Roughing up beta : Continuous versus discontinuous betas and the cross section of expected stock returns. In: Journal of Financial Economics. 2016 ; Vol. 120, No. 3. pp. 464–490.

Bibtex

@article{8130dbde414a456eb32bf866deac667f,
title = "Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns",
author = "Tim Bollerslev and Li, {Sophia Zhengzi} and Viktor Todorov",
year = "2016",
doi = "10.1016/j.jfineco.2016.02.001",
language = "English",
volume = "120",
pages = "464–490",
journal = "Journal of Financial Economics",
issn = "0304-405X",
publisher = "Elsevier BV",
number = "3",

}

RIS

TY - JOUR

T1 - Roughing up beta

T2 - Continuous versus discontinuous betas and the cross section of expected stock returns

AU - Bollerslev, Tim

AU - Li, Sophia Zhengzi

AU - Todorov, Viktor

PY - 2016

Y1 - 2016

U2 - 10.1016/j.jfineco.2016.02.001

DO - 10.1016/j.jfineco.2016.02.001

M3 - Journal article

VL - 120

SP - 464

EP - 490

JO - Journal of Financial Economics

JF - Journal of Financial Economics

SN - 0304-405X

IS - 3

ER -