Good News, Bad News, Volatility, and Betas
用双变量EGARCH模型研究股票收益的条件协方差，发现市场和非市场成分存在条件异方差，但条件贝塔时变性较弱，且杠杆效应主要出现在市场波动而非贝塔中。
ABSTRACT We investigate the conditional covariances of stock returns using bivariate exponential ARCH (EGARCH) models. These models allow market volatility, portfolio‐specific volatility, and beta to respond asymmetrically to positive and negative market and portfolio returns, i.e., “leverage” effects. Using monthly data, we find strong evidence of conditional heteroskedasticity in both market and non‐market components of returns, and weaker evidence of time‐varying conditional betas. Surprisingly while leverage effects appear strong in the market component of volatility, they are absent in conditional betas and weak and/or inconsistent in nonmarket sources of risk.