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Sensitivity of Systematic Risk Estimates to the Return Measurement Interval under Serial Correlation

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  • Kim, Dongcheol

Abstract

This paper analytically and empirically investigates the sensitivity of the return measurement interval to the market beta estimate and suggests a market beta estimation method incorporating the investment horizon through a vector autoregressive (VAR) model when there is serial correlation in returns. The analytical relation between the beta estimate and the return measurement interval is obtained. Based on the analytical relation, a decision function for the intervalling effect is provided. It is found that the intervalling effect is mostly caused by January returns. Copyright 1999 by Kluwer Academic Publishers

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  • Kim, Dongcheol, 1999. "Sensitivity of Systematic Risk Estimates to the Return Measurement Interval under Serial Correlation," Review of Quantitative Finance and Accounting, Springer, vol. 12(1), pages 49-64, January.
    • Handle: RePEc:kap:rqfnac:v:12:y:1999:i:1:p:49-64
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    Cited by:

    1. Mateev, Miroslav & Andonov, Kristiyan, 2018. "Do European bidders pay more in cross-border than in domestic acquisitions? New evidence from Continental Europe and the UK," Research in International Business and Finance, Elsevier, vol. 45(C), pages 529-556.
    2. Morresi, Ottorino & Pezzi, Alberto, 2011. "21 years of international M&As and joint ventures by Italian medium-sized listed firms: Value creation or value destruction?," Research in International Business and Finance, Elsevier, vol. 25(1), pages 75-87, January.

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