The Impact of the Return Interval on The estimation of Systematic Risk in Australia
AbstractThe estimation of systematic risk (or 'beta') in central to the implementation of the Capital Asset Pricing Model and the market model for both researchers and practioners. It is well known that a variety of beta estimates can result for the one stock dependeng on various factors such as the calculation of returns, choice of the market index, sample period and length of the estimation period. In this paper, we are concerned with one of such facor being the interval over which returns are measured.
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Bibliographic InfoPaper provided by Melbourne - Centre in Finance in its series Papers with number 96-8.
Length: 25 pages
Date of creation: 1996
Date of revision:
Contact details of provider:
Postal: Centre in Finance, Department of Economics and Finance, Faculty of Business, RMIT GPO Box 2476V Melbourne, Vic 3000 Australia.
Phone: +61 3 9925 5858
Fax: +61 3 9925 5986
Web page: http://www.rmit.edu.au/bus/ecofin
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RISK; ASSET PRICING; FINANCIAL MARKET;
Find related papers by JEL classification:
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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