Why beta shifts as the return interval changes

Hawawini, Gabriel (1983): Why beta shifts as the return interval changes. Published in: Financial Analyst Journal , Vol. 39, (May 1983): pp. 73-77.

Abstract

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

• Item Type: MPRA Paper
• Language: English
• Keywords: systematic risk; beta coefficient; intervaling effect; return measurement; regression analysis
• Subjects: G - Financial Economics > G1 - General Financial Markets > G10 - General; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions

References

Cohen,K, G. Hawawini, S. Maier, R. Schwartz, D. Whitcomb, "Implications of Microstructure Theory for Empirical Research in Stock Price Behavior", Journal of Finance, Volume 35, May 1980, pp. 249-257

Cohen,K, G. Hawawini, S. Maier, R. Schwartz, D. Whitcomb, "Estimating and Adjusting for the Intervaling Effect Bias in Beta", Management Science, Volume 29, January 1983, pp. 135-148

Cohen,K, G. Hawawini, S. Maier, R. Schwartz, D. Whitcomb, "Friction in the Trading Process and the Estimation of Systematic Risk", Journal of Financial Economics, Volume 12, August 1983, pp. 263-278

Hawawini, G. "The Intertemporal Cross Price Behavior of Common Stocks: Evidence and Implications", Journal of Financial Research, Volume 5, Fall 1980, pp. 153-167.

Hawawini, G, A. Vora "Temporal Aggregation and the Estimation of the Market Price of Risk", Economics Letters, Volume 5, 1980, pp. 165-170.