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

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  • Teppo Martikainen

    (University of Vaasa)

Abstract

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.

Suggested Citation

  • Teppo Martikainen, 1991. "The impact of infrequent trading on betas based on daily, weekly and monthly return intervals : empirical evidence with Finnish data," Finnish Economic Papers, Finnish Economic Association, vol. 4(1), pages 52-64, Spring.
    • Handle: RePEc:fep:journl:v:4:y:1991:i:1:p:52-64
    as

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    References listed on IDEAS

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    1. repec:zbw:bofrdp:1992_009 is not listed on IDEAS
    2. Malkamäki, Markku, 1992. "Conditional betas and the price of risk in a thin asset market: A sensitivity analysis," Bank of Finland Research Discussion Papers 9/1992, Bank of Finland.
    3. Malkamäki, Markku, 1992. "Conditional betas and the price of risk in a thin asset market : A sensitivity analysis," Research Discussion Papers 9/1992, Bank of Finland.
    4. Miroslav Matteev, 2004. "CAPM Anomalies and the Efficiency of Stock Markets in Transition: Evidence from Bulgaria," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 2(1), pages 35-58.
    5. Mika Vaihekoski, 1998. "Short-term returns and the predictability of Finnish stock returns," Finnish Economic Papers, Finnish Economic Association, vol. 11(1), pages 19-36, Spring.
    6. Antti Kanto & Hannu Schadewitz, 2003. "Impact of nonearnings disclosures on market risk: evidence with interim reports," Applied Financial Economics, Taylor & Francis Journals, vol. 13(10), pages 721-729.

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