Sensitivity of Systematic Risk Estimates to the Return Measurement Interval Under Serial Correlation

Sensitivity of Systematic Risk Estimates to the Return Measurement Interval Under Serial Correlation This paper analytically and empirically investigates the sensitivity of the return measurement interval to the market beta estimate and suggests a market beta estimation method incorporating the investment horizon through a vector autoregressive (VAR) model when there is serial correlation in returns. The analytical relation between the beta estimate and the return measurement interval is obtained. Based on the analytical relation, a decision function for the intervalling effect is provided. It is found that the intervalling effect is mostly caused by January returns. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Sensitivity of Systematic Risk Estimates to the Return Measurement Interval Under Serial Correlation

Loading next page...
 
/lp/springer_journal/sensitivity-of-systematic-risk-estimates-to-the-return-measurement-71WqrvJdz0
Publisher
Kluwer Academic Publishers
Copyright
Copyright © 1999 by 1999 Kluwer Academic Publishers, Boston. Manufactured in The Netherlands.
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1023/A:1008368524904
Publisher site
See Article on Publisher Site

Abstract

This paper analytically and empirically investigates the sensitivity of the return measurement interval to the market beta estimate and suggests a market beta estimation method incorporating the investment horizon through a vector autoregressive (VAR) model when there is serial correlation in returns. The analytical relation between the beta estimate and the return measurement interval is obtained. Based on the analytical relation, a decision function for the intervalling effect is provided. It is found that the intervalling effect is mostly caused by January returns.

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Oct 19, 2004

References

  • Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolio
    Jensen, M.C.
  • Capital asset prices: a theory of Market Equilibrium under Conditions of Risk
    Sharpe, W.F.

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve

Freelancer

DeepDyve

Pro

Price

FREE

$49/month
$360/year

Save searches from
Google Scholar,
PubMed

Create lists to
organize your research

Export lists, citations

Read DeepDyve articles

Abstract access only

Unlimited access to over
18 million full-text articles

Print

20 pages / month

PDF Discount

20% off