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Why beta shifts as the return interval changes

Author

Listed:
  • Hawawini, Gabriel

Abstract

The paper examines and explains why estimates of systematic risk (beta coefficient) shift the time-interval used to measure returns changes

Suggested Citation

  • Hawawini, Gabriel, 1983. "Why beta shifts as the return interval changes," MPRA Paper 44893, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:44893
    as

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    File URL: https://mpra.ub.uni-muenchen.de/44893/1/MPRA_paper_44893.pdf
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    References listed on IDEAS

    as
    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 249-257, May.
    2. Gabriel A. Hawawini, 1980. "The Intertemporal Cross Price Behavior of Common Stocks: Evidence and Implications," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(2), pages 153-167, June.
    3. 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.
    4. 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.
    5. Hawawini, Gabriel A. & Vora, Ashok, 1980. "Temporal aggregation and the estimation of the market price of risk," Economics Letters, Elsevier, vol. 5(2), pages 165-170.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    systematic risk; beta coefficient; intervaling effect; return measurement; regression analysis;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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