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

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  • Brailsford, Timothy J.
  • Josev, Thomas

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  • Brailsford, Timothy J. & Josev, Thomas, 1997. "The impact of the return interval on the estimation of systematic risk," Pacific-Basin Finance Journal, Elsevier, vol. 5(3), pages 357-376, July.
  • Handle: RePEc:eee:pacfin:v:5:y:1997:i:3:p:357-376
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    References listed on IDEAS

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    2. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    3. 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 249-257, May.
    4. 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.
    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. 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 277-286, March.
    7. 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.
    8. Roll, Richard, 1981. "A Possible Explanation of the Small Firm Effect," Journal of Finance, American Finance Association, vol. 36(4), pages 879-888, September.
    9. 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.
    10. Blume, Marshall E, 1975. "Betas and Their Regression Tendencies," Journal of Finance, American Finance Association, vol. 30(3), pages 785-795, June.
    11. 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.
    12. 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.
    13. 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 425-448, July.
    14. Hawawini, Gabriel, 1983. "Why beta shifts as the return interval changes," MPRA Paper 44893, University Library of Munich, Germany.
    15. Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
    16. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
    17. 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.
    18. 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.
    19. 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.
    20. Turtle, Harry J., 1994. "Temporal dependence in asset pricing models," Economics Letters, Elsevier, vol. 45(3), pages 361-366.
    21. 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.
    22. 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.
    23. 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.
    24. 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.
    25. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
    26. Karen K. Lewis, 1991. "Should the Holding Period Matter for the Intertemporal Consumption-BasedCAPM?," NBER Working Papers 3583, National Bureau of Economic Research, Inc.
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    Citations

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    Cited by:

    1. Janusz Brzeszczyński & Jerzy Gajdka & Tomasz Schabek, 2011. "The Role of Stock Size and Trading Intensity in the Magnitude of the "Interval Effect" in Beta Estimation: Empirical Evidence from the Polish Capital Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(1), pages 28-49, January.
    2. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem & Arnold F. Shapiro & Michel Terraza, 2012. "Capital asset pricing model with fuzzy returns and hypothesis testing," Working Papers 12-33, LAMETA, Universtiy of Montpellier, revised Sep 2012.
    3. Atilla Cifter & Alper Ozun, 2008. "Multiscale Systematic Risk: an Application on the ISE-30," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 10(38), pages 1-24.
    4. Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2005. "Multiscale systematic risk," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 55-70, February.
    5. Janusz Brzeszczyński & Jerzy Gajdka & Tomasz Schabek, 2011. "The Role of Stock Size and Trading Intensity in the Magnitude of the "Interval Effect" in Beta Estimation: Empirical Evidence from the Polish Capital Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(1), pages 28-49, January.
    6. López-Herrera, Francisco & Valencia-Herrera, Humberto, 2016. "Hacia un Modelo de Valuación de Activos de Capital para México: Análisis de Activos Individuales con Coeficientes Variantes en el Tiempo," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(22), pages 75-103, primer se.
    7. Cifter, Atilla & Ozun, Alper, 2007. "Multiscale Systematic Risk: An Application on ISE-30," MPRA Paper 2484, University Library of Munich, Germany.
    8. Dragos Stefan Oprea, 2015. "The Interval Effect in Estimating Beta: Empirical Evidence from the Romanian Stock Market," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 7(2), pages 016-025, December.
    9. Georgios Mantsios & Stylianos Xanthopoulos, 2016. "The Beta intervalling effect during a deep economic crisis - evidence from Greece," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 9(1), pages 19-26, April.
    10. Masih, Mansur & Alzahrani, Mohammed & Al-Titi, Omar, 2010. "Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 10-18, January.
    11. Marshall, Ben R., 2006. "Liquidity and stock returns: Evidence from a pure order-driven market using a new liquidity proxy," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 21-38.
    12. Mbairadjim Moussa, A. & Sadefo Kamdem, J. & Shapiro, A.F. & Terraza, M., 2014. "CAPM with fuzzy returns and hypothesis testing," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 40-57.

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