IDEAS home Printed from https://ideas.repec.org/a/inm/ormnsc/v22y1975i4p422-426.html
   My bibliography  Save this article

Regression Analysis for Multiplicative Phenomena and its Implication for the Measurement of Investment Risk

Author

Listed:
  • Meir I. Schneller

    (State University of New York at Buffalo)

Abstract

Beta--the systematic risk--is generally accepted as a measure for the risk involved in holding a portfolio of risky securities. It will be shown in this paper that, because beta is measured by regressing one multiplicative variable (the rate of return of a security or a portfolio) on another multiplicative variable (the market), in the long run, the systematic risk will approach either zero or infinity. It will also be shown that in the long run the unsystematic risk will dominate the systematic risk, and that, regardless of the value of this latter risk. This implies that for investors with long planning horizon the information conveyed in the systematic risk of an investment is rather limited.

Suggested Citation

  • Meir I. Schneller, 1975. "Regression Analysis for Multiplicative Phenomena and its Implication for the Measurement of Investment Risk," Management Science, INFORMS, vol. 22(4), pages 422-426, December.
    • Handle: RePEc:inm:ormnsc:v:22:y:1975:i:4:p:422-426
    DOI: 10.1287/mnsc.22.4.422
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1287/mnsc.22.4.422
    Download Restriction: no
    File URL: https://libkey.io/10.1287/mnsc.22.4.422?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

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


    Cited by:

    1. Levy, Haim & Schwarz, Gideon, 1997. "Correlation and the time interval over which the variables are measured," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 341-350.
    2. R Jea & C-T Su & J-L Lin, 2005. "Time aggregation effect on the correlation coefficient: added-systematically sampled framework," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 56(11), pages 1303-1309, November.
    3. Haim Levy & Ilan Guttman & Isabel Tkatch, 2001. "Regression, Correlation, and the Time Interval: Additive-Multiplicative Framework," Management Science, INFORMS, vol. 47(8), pages 1150-1159, August.
    4. Jea, Rong & Lin, Jin-Lung & Su, Chao-Ton, 2005. "Correlation and the time interval in multiple regression models," European Journal of Operational Research, Elsevier, vol. 162(2), pages 433-441, April.
    5. Haim Levy, 1996. "Investment diversification and investment specialization and the assumed holding period," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(2), pages 117-134.

    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:inm:ormnsc:v:22:y:1975:i:4:p:422-426. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .

    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.