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Why Beta Shifts as the Return Interval Changes · Study

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ArticleWhy Beta Shifts as the Return Interval Changes

Gabriel A. Hawawini1983

Article1983

Why Beta Shifts as the Return Interval Changes

Gabriel A. Hawawini

91 citations·0/0 files stored·Financial Analysts Journal

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Abstract

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

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2014Daily Data is Bad for Beta: Opacity and Frequency-Dependent Betas 2002Systematic risk and time scales 1993The pricing of risky assets in two emerging Asian markets—Korea and Taiwan 2021Spectral factor models 2015CAPM: An Absurd Model 1995Chapter 17 On the predictability of common stock returns: World-wide evidence 1997The impact of the return interval on the estimation of systematic risk 2006Alternative beta risk estimators and asset pricing tests in emerging markets: The case of Pakistan

Details

Year1983

Typearticle

Published1983-05-01

VenueFinancial Analysts Journal

ISSN-L0015-198X

Languageen

Citations91

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.2469/faj.v39.n3.73

openalex_workW1535278562

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