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Empirical Irregularities In The Estimation Of Beta: The Impact Of Alternative Estimation Assumptions And Procedures

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  • Paul Draper
  • Krishna Paudyal

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Suggested Citation

  • Paul Draper & Krishna Paudyal, 1995. "Empirical Irregularities In The Estimation Of Beta: The Impact Of Alternative Estimation Assumptions And Procedures," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 22(1), pages 157-177, January.
    • Handle: RePEc:bla:jbfnac:v:22:y:1995:i:1:p:157-177
    DOI: 10.1111/j.1468-5957.1995.tb00677.x
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    References listed on IDEAS

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    1. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
    2. Dimson, E & Marsh, P R, 1983. "The Stability of UK Risk Measures and the Problem of Thin Trading," Journal of Finance, American Finance Association, vol. 38(3), pages 753-783, June.
    3. MacDonald, Ronald & Torrance, Thomas S, 1988. "Monetary Policy and the Real Interest Rate: Some U.K. Evidence," Scottish Journal of Political Economy, Scottish Economic Society, vol. 35(4), pages 361-371, November.
    4. Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December.
    5. Handa, Puneet & Kothari, S. P. & Wasley, Charles, 1989. "The relation between the return interval and betas : Implications for the size effect," Journal of Financial Economics, Elsevier, vol. 23(1), pages 79-100, June.
    6. Theobald, Michael, 1981. "Beta Stationarity and Estimation Period: Some Analytical Results," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(5), pages 747-757, December.
    7. Blume, Marshall E, 1975. "Betas and Their Regression Tendencies," Journal of Finance, American Finance Association, vol. 30(3), pages 785-795, June.
    8. Campbell, Cynthia J. & Wesley, Charles E., 1993. "Measuring security price performance using daily NASDAQ returns," Journal of Financial Economics, Elsevier, vol. 33(1), pages 73-92, February.
    9. Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
    10. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
    11. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
    12. Klemkosky, Robert C & Martin, John D, 1975. "The Adjustment of Beta Forecasts," Journal of Finance, American Finance Association, vol. 30(4), pages 1123-1128, September.
    13. Eubank, Arthur A, Jr & Zumwalt, J Kenton, 1979. "An Analysis of the Forecast Error Impact of Alternative Beta Adjustment Techniques and Risk Classes," Journal of Finance, American Finance Association, vol. 34(3), pages 761-776, June.
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