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The impact of the return interval on the estimation of systematic risk

  • Brailsford, Timothy J.
  • Josev, Thomas
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    File URL: http://www.sciencedirect.com/science/article/B6VFF-3SX11KC-5/2/ddd210bb96ec2d69653ede1f7bc77c7b
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    Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

    Volume (Year): 5 (1997)
    Issue (Month): 3 (July)
    Pages: 357-376

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    Handle: RePEc:eee:pacfin:v:5:y:1997:i:3:p:357-376
    Contact details of provider: Web page: http://www.elsevier.com/locate/pacfin

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    1. Cohen, Kalman J, et al, 1980. " Implications of Microstructure Theory for Empirical Research on Stock Price Behavior," Journal of Finance, American Finance Association, vol. 35(2), pages 249-57, May.
    2. McInish, Thomas H & Wood, Robert A, 1986. " Adjusting for Beta Bias: An Assessment of Alternative Techniques: A Note," Journal of Finance, American Finance Association, vol. 41(1), pages 277-86, March.
    3. Blume, Marshall E, 1975. "Betas and Their Regression Tendencies," Journal of Finance, American Finance Association, vol. 30(3), pages 785-95, June.
    4. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
    5. Collins, Daniel W & Ledolter, Johannes & Rayburn, Judy Dawson, 1987. "Some Further Evidence on the Stochastic Properties of Systematic Risk," The Journal of Business, University of Chicago Press, vol. 60(3), pages 425-48, July.
    6. Hawawini, Gabriel, 1983. "Why beta shifts as the return interval changes," MPRA Paper 44893, University Library of Munich, Germany.
    7. Bundt, Thomas P. & Cosimano, Thomas F. & Halloran, John A., 1992. "DIDMCA and bank market risk: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 16(6), pages 1179-1193, December.
    8. Lewis, Karen K., 1991. "Should the holding period matter for the intertemporal consumption-based CAPM?," Journal of Monetary Economics, Elsevier, vol. 28(3), pages 365-389, December.
    9. 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.
    10. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
    11. Frankfurter, George M. & Leung, Wai K. & Brockman, Paul D., 1994. "Compounding period length and the market model," Journal of Economics and Business, Elsevier, vol. 46(3), pages 179-193, August.
    12. Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
    13. A. D. Castagna & L. H. Greenwood & Z. P. Matolcsy, 1984. "An Evaluation of Alternative Methods for Estimating Systematic Risk," Australian Journal of Management, Australian School of Business, vol. 9(2), pages 1-13, December.
    14. Fowler, David J & Rorke, C Harvey & Jog, Vijay M, 1989. "A Bias-Correcting Procedure for Beta Estimation in the Presence of Thin Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(1), pages 23-32, Spring.
    15. Hawawini, Gabriel & Cohen, Kalman & Maier, Steven & Schwartz, Robert & Whitcomb, David, 1980. "Implications of microstructure theory for empirical research in stock price behavior," MPRA Paper 33976, University Library of Munich, Germany.
    16. Chan, Louis K. C. & Lakonishok, Josef, 1992. "Robust Measurement of Beta Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(02), pages 265-282, June.
    17. 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.
    18. 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.
    19. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
    20. Karen K. Lewis, 1991. "Should the Holding Period Matter for the Intertemporal Consumption-BasedCAPM?," NBER Working Papers 3583, National Bureau of Economic Research, Inc.
    21. Bos, T & Newbold, P, 1984. "An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model," The Journal of Business, University of Chicago Press, vol. 57(1), pages 35-41, January.
    22. Kalman J. Cohen & Gabriel A. Hawawini & Steven F. Maier & Robert A. Schwartz & David K. Whitcomb, 1983. "Estimating and Adjusting for the Intervalling-Effect Bias in Beta," Management Science, INFORMS, vol. 29(1), pages 135-148, January.
    23. Roll, Richard, 1981. "A Possible Explanation of the Small Firm Effect," Journal of Finance, American Finance Association, vol. 36(4), pages 879-88, September.
    24. Fowler, David J. & Rorke, C. Harvey, 1983. "Risk measurement when shares are subject to infrequent trading : Comment," Journal of Financial Economics, Elsevier, vol. 12(2), pages 279-283, August.
    25. Turtle, Harry J., 1994. "Temporal dependence in asset pricing models," Economics Letters, Elsevier, vol. 45(3), pages 361-366.
    26. Cohen, Kalman J. & Hawawini, Gabriel A. & Maier, Steven F. & Schwartz, Robert A. & Whitcomb, David K., 1983. "Friction in the trading process and the estimation of systematic risk," Journal of Financial Economics, Elsevier, vol. 12(2), pages 263-278, August.
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