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The Effect Of Differencing Interval Length On Beta

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  • Erwin M. Saniga
  • Thomas H. McInish
  • Bruce K. Gouldey

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  • Erwin M. Saniga & Thomas H. McInish & Bruce K. Gouldey, 1981. "The Effect Of Differencing Interval Length On Beta," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(2), pages 129-135, June.
    • Handle: RePEc:bla:jfnres:v:4:y:1981:i:2:p:129-135
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1981.tb00615.x
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    References listed on IDEAS

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    1. Jensen, Michael C, 1969. "Risk, The Pricing of Capital Assets, and the Evaluation of Investment Portfolios," The Journal of Business, University of Chicago Press, vol. 42(2), pages 167-247, April.
    2. Schwartz, Robert A. & Whitcomb, David K., 1977. "Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(2), pages 291-313, June.
    3. Smith, Keith V., 1978. "The Effect of Intervaling on Estimating Parameters of the Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(2), pages 313-332, June.
    4. Friend, Irwin & Blume, Marshall E, 1970. "Measurement of Portfolio Performance Under Uncertainty," American Economic Review, American Economic Association, vol. 60(4), pages 561-575, September.
    5. Lloyd-Davies, Peter & Canes, Michael, 1978. "Stock Prices and the Publication of Second-Hand Information," The Journal of Business, University of Chicago Press, vol. 51(1), pages 43-56, January.
    6. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
    7. Roll, Richard, 1978. "Ambiguity when Performance is Measured by the Securities Market Line," Journal of Finance, American Finance Association, vol. 33(4), pages 1051-1069, September.
    8. Levhari, David & Levy, Haim, 1977. "The Capital Asset Pricing Model and the Investment Horizon," The Review of Economics and Statistics, MIT Press, vol. 59(1), pages 92-104, February.
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    1. Dębski Wiesław & Feder-Sempach Ewa & Świderski Bartosz, 2014. "Intervalling Effect On Estimating The Beta Parameter For The Largest Companies On The WSE," Folia Oeconomica Stetinensia, Sciendo, vol. 14(2), pages 270-286, December.
    2. Naval K. Modani & Philip L. Cooley & Rodney L. Roenfeldt, 1983. "Stability Of Market Risk Surrogates," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(1), pages 33-40, March.
    3. Albert Corhay & Alireza Tourani Rad, 1993. "Return Interval, Firm Size And Systematic Risk On The Dutch Stock Market," Review of Financial Economics, John Wiley & Sons, vol. 2(2), pages 19-28, March.
    4. Beer, Francisca Marie, 1997. "Estimation of risk on the Brussels Stock Exchange: Methodological issues and empirical results," Global Finance Journal, Elsevier, vol. 8(1), pages 83-94.

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