CAPM and systematic and unsystematic risk with stock price jumps

被引：0
|
作者：
Nietert, B [1 ]
机构：
[1] Univ Passau, Lehrstuhl Betriebswirtschaftslehre Mit Schwerpunk, D-94032 Passau, Germany
来源：
OPERATIONS RESEARCH PROCEEDINGS 1999 | 2000年
关键词：
D O I：
暂无
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
Stocks' risk premiums under combined jump and diffusion risk are a linear combination of the risk premium of the "classical" market portfolio and the premium of a jump-induced correction fund. Moreover, firm-specific jump risk is completely systematic. The unsystematic part of stocks' return variances stem solely from normal price vibrations.
引用
收藏
页码：323 / 328
页数：6
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