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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. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    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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