IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

The impact of infrequent trading on betas based on daily, weekly and monthly return intervals : empirical evidence with Finnish data

  • Teppo Martikainen

    (University of Vaasa)

Registered author(s):

    This paper examines the empirical properties of common stock systematic risk estimates measured from daily, weekly and monthly return intervals in the Finnish stock market. Firstly, the effects of infrequent trading on betas measured from the three return intervals are analysed. Secondly, it is aimed to find out whether the differences in the stability of the selected systematic risk estimates can be explained by infrequent trading. Thirdly, the linear risk-return relationship suggested by the CAPM is tested using the different systematic risk estimates. In addition, two widely discussed anomalies, the size-effect and the E/P-effect, are focused in this context.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://taloustieteellinenyhdistys.fi/images/stories/fep/f1991_1e.pdf
    Download Restriction: no

    Article provided by Finnish Economic Association in its journal Finnish Economic Papers.

    Volume (Year): 4 (1991)
    Issue (Month): 1 (Spring)
    Pages: 52-64

    as
    in new window

    Handle: RePEc:fep:journl:v:4:y:1991:i:1:p:52-64
    Contact details of provider: Web page: http://www.taloustieteellinenyhdistys.fi

    More information through EDIRC

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as in new window
    1. Yli-Olli, P & Virtanen, I & Martikainen, T, 1990. "Common factors in the arbitrage pricing model in two Scandinavian countries," Omega, Elsevier, vol. 18(6), pages 615-624.
    2. Roll, Richard, 1983. "On computing mean returns and the small firm premium," Journal of Financial Economics, Elsevier, vol. 12(3), pages 371-386, November.
    3. Jaffe, Jeffrey & Keim, Donald B & Westerfield, Randolph, 1989. " Earnings Yields, Market Values, and Stock Returns," Journal of Finance, American Finance Association, vol. 44(1), pages 135-48, March.
    4. Reinganum, Marc R., 1981. "Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market values," Journal of Financial Economics, Elsevier, vol. 9(1), pages 19-46, March.
    5. 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 753-83, June.
    6. 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.
    7. Stoll, Hans R. & Whaley, Robert E., 1983. "Transaction costs and the small firm effect," Journal of Financial Economics, Elsevier, vol. 12(1), pages 57-79, June.
    8. Levis, Mario, 1989. "Stock market anomalies: A re-assessment based on the UK evidence," Journal of Banking & Finance, Elsevier, vol. 13(4-5), pages 675-696, September.
    9. 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.
    10. Cook, Thomas J. & Rozeff, Michael S., 1984. "Size and Earnings/Price Ratio Anomalies: One Effect or Two?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(04), pages 449-466, December.
    11. Berglund, Tom & Liljeblom, Eva, 1988. " Market Serial Correlation on a Small Security Market: A Note," Journal of Finance, American Finance Association, vol. 43(5), pages 1265-74, December.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:fep:journl:v:4:y:1991:i:1:p:52-64. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Editorial Secretary)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.