Beta Cont’d
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Beta Cont’d By Hao Sun
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Beta Cont’d. By Hao Sun. JPM. Contribution of Jumps. R-Beta vs B-Beta. BAC. Contribution of Jumps. R-Beta vs B-Beta. BK. Contribution of Jumps. R-Beta vs B-Beta. GS. Contribution of Jumps. R-Beta vs B-Beta. MS. Contribution of Jumps. R-Beta vs. B-Beta. NYX. - PowerPoint PPT Presentation
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Beta ContdBy Hao SunJPM
Contribution of Jumps
R-Beta vs B-BetaMeanStandard DeviationRealized0.94440.3702Bi-Power0.91900.4188
BAC
Contribution of Jumps
R-Beta vs B-BetaMeanStandard DeviationRealized0.87170.4386Bi-Power0.86830.5203
BK
Contribution of Jumps
R-Beta vs B-BetaMeanStandard DeviationRealized0.84820.3790Bi-Power0.87220.4176
GS
Contribution of Jumps
R-Beta vs B-BetaMeanStandard DeviationRealized0.88070.3895Bi-Power0.85750.4267
MS
Contribution of Jumps
MeanSTDEV0.04610.3268R-Beta vs. B-Beta
MeanStandard DeviationRealized1.25130.5228Bi-Power1.20490.5802NYX
Contribution of Jumps
R-Beta vs B-BetaMeanStandard DeviationRealized1.03280.5141Bi-Power1.00010.6158
BetasStockRealized BetaBi-Power BetaBAC0.8717(0.4386)0.8683(0.5203)BK0.8482(0.3790)0.8722(0.4176)GS0.8807(0.3895)0.8575(0.4267)JPM0.9444(0.3702)0.9190(0.4188)MS1.2513(0.5228)1.2049(0.5802)NYX1.0328(0.5141)1.0001(0.6158)WFC0.7906(0.4348)0.7910(0.4712)ChartThings to doFind more efficient algorithm to process all stocks simultaneouslyTest whether betas significantly different from 1.Maybe construct a portfolio of financial firms, to test general risks in Financial IndustryCalculate Betas of different frequency.Compare Betas calculated from different starting points (e.g. 9:35 vs 9:36)
