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Beta Cont’d

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.

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Beta Cont’d

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  1. Beta Cont’d By Hao Sun

  2. JPM

  3. Contribution of Jumps

  4. R-Beta vs B-Beta

  5. BAC

  6. Contribution of Jumps

  7. R-Beta vs B-Beta

  8. BK

  9. Contribution of Jumps

  10. R-Beta vs B-Beta

  11. GS

  12. Contribution of Jumps

  13. R-Beta vs B-Beta

  14. MS

  15. Contribution of Jumps

  16. R-Beta vs. B-Beta

  17. NYX

  18. Contribution of Jumps

  19. R-Beta vs B-Beta

  20. Betas

  21. Chart

  22. Things to do • Find more efficient algorithm to process all stocks simultaneously • Test whether betas significantly different from 1. • Maybe construct a portfolio of financial firms, to test general risks in Financial Industry • Calculate Betas of different frequency. • Compare Betas calculated from different starting points (e.g. 9:35 vs 9:36)

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