IDEAS home Printed from https://ideas.repec.org/a/eee/pacfin/v5y1997i3p357-376.html
   My bibliography  Save this article

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

Author

Listed:
  • Brailsford, Timothy J.
  • Josev, Thomas

Abstract

No abstract is available for this item.

Suggested Citation

  • 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
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0927-538X(97)00006-1
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. 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.
    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. David J. Fowler & C. Harvey Rorke & Vijay M. Jog, 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, March.
    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. repec:bla:ecorec:v:60:y:1984:i:168:p:34-44 is not listed on IDEAS
    11. Blume, Marshall E, 1975. "Betas and Their Regression Tendencies," Journal of Finance, American Finance Association, vol. 30(3), pages 785-795, June.
    12. 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.
    13. 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.
    14. 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.
    15. Hawawini, Gabriel, 1983. "Why beta shifts as the return interval changes," MPRA Paper 44893, University Library of Munich, Germany.
    16. Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
    17. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
    18. 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.
    19. 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.
    20. 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.
    21. Warren P. Hogan & Ian G. Sharpe, 1984. "Regulation, Risk and the Pricing of Australian Bank Shares, 1957–1976," The Economic Record, The Economic Society of Australia, vol. 60(1), pages 34-44, March.
    22. Turtle, Harry J., 1994. "Temporal dependence in asset pricing models," Economics Letters, Elsevier, vol. 45(3), pages 361-366.
    23. 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.
    24. Chan, Louis K. C. & Lakonishok, Josef, 1992. "Robust Measurement of Beta Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(2), pages 265-282, June.
    25. Handa, Puneet & Kothari, S P & Wasley, Charles, 1993. "Sensitivity of Multivariate Tests of the Capital Asset-Pricing Model to the Return Measurement Interval," Journal of Finance, American Finance Association, vol. 48(4), pages 1543-1551, September.
    26. 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.
    27. 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.
    28. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem, 2022. "A fuzzy multifactor asset pricing model," Annals of Operations Research, Springer, vol. 313(2), pages 1221-1241, June.
    2. Don Galagedera & Elizabeth Maharaj & Robert Brooks, 2008. "Relationship between downside risk and return: new evidence through a multiscaling approach," Applied Financial Economics, Taylor & Francis Journals, vol. 18(20), pages 1623-1633.
    3. 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.
    4. Robert Brooks & Xibin Zhang & Emawtee Bissoondoyal Bheenick, 2007. "Country risk and the estimation of asset return distributions," Quantitative Finance, Taylor & Francis Journals, vol. 7(3), pages 261-265.
    5. 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.
    6. 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.
    7. Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2005. "Multiscale systematic risk," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 55-70, February.
    8. 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.
    9. Juliana Malagon & David Moreno & Rosa Rodr�guez, 2015. "Time horizon trading and the idiosyncratic risk puzzle," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 327-343, February.
    10. 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.
    11. 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), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 9(1), pages 19-26, April.
    12. Bartłomiej Lisicki, 2023. "Sektorowe zróżnicowanie efektu interwału akcji spółek z GPW w dobie pandemii COVID-19," Ekonomista, Polskie Towarzystwo Ekonomiczne, issue 2, pages 174-194.
    13. 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.
    14. 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.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. 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.
    2. 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.
    3. Chenglu Jin & Thomas Conlon & John Cotter, 2023. "Co-Skewness across Return Horizons," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1483-1518.
    4. Pasaribu, Rowland Bismark Fernando, 2009. "Koreksi Bias Koefisien Beta [Non-Synchronous Trading In Indonesia Stock Exchange]," MPRA Paper 36981, University Library of Munich, Germany.
    5. 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.
    6. Gregory, Alan & Hua, Shan & Tharyan, Rajesh, 2018. "In search of beta," The British Accounting Review, Elsevier, vol. 50(4), pages 425-441.
    7. Pasaribu, Rowland Bismark Fernando, 2009. "Koreksi Bias Koefisien Beta [Non-Synchronous Trading In Indonesia Stock Exchange]," MPRA Paper 39874, 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. John C. Larson & Joel N. Morse, 1987. "Intervalling Effects In Hong Kong Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(4), pages 353-362, December.
    10. Perron, Pierre & Chun, Sungju & Vodounou, Cosme, 2013. "Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 42-62.
    11. 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.
    12. Brooks, Robert D. & Faff, Robert W. & Ariff, Mohamed, 1998. "An investigation into the extent of beta instability in the Singapore stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 87-101, May.
    13. 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.
    14. Magdalena Mikolajek-Gocejna, 2021. "Estimation, Instability, and Non-Stationarity of Beta Coefficients for Twenty-four Emerging Markets in 2005-2021," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 370-395.
    15. Ryan Bartens & Shakill Hassan, 2010. "Value, size and momentum portfolios in real time: the cross section of South African stocks," Australian Journal of Management, Australian School of Business, vol. 35(2), pages 181-202, August.
    16. Malevergne, Y. & Sornette, D., 2007. "Self-consistent asset pricing models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 149-171.
    17. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem, 2022. "A fuzzy multifactor asset pricing model," Annals of Operations Research, Springer, vol. 313(2), pages 1221-1241, June.
    18. Ramazan Genay & Faruk Seļuk & Brandon Whitcher, 2003. "Systematic risk and timescales," Quantitative Finance, Taylor & Francis Journals, vol. 3(2), pages 108-116.
    19. Stefano D'Addona & Mattia Ciprian, 2007. "Time Varying Sensitivities On A Grid Architecture," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 307-329.
    20. Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2005. "Multiscale systematic risk," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 55-70, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:pacfin:v:5:y:1997:i:3:p:357-376. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/pacfin .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.