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The impact of the return interval on the estimation of systematic risk · Study

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ArticleThe impact of the return interval on the estimation of systematic risk

Tim Brailsford1997

Article1997

The impact of the return interval on the estimation of systematic risk

Tim Brailsford · Thomas Josev

54 citations·0/0 files stored·Pacific-Basin Finance Journal

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

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References

1992The Cross-Section of Expected Stock Returns 1985Using daily stock returns 1980Measuring security price performance 1979Risk measurement when shares are subject to infrequent trading 1977Estimating betas from nonsynchronous data 1971ON THE ASSESSMENT OF RISK 1975BETAS AND THEIR REGRESSION TENDENCIES 1966Some New Stock-Market Indexes

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2005Liquidity and stock returns: Evidence from a pure order-driven market using a new liquidity proxy 2011The Role of Stock Size and Trading Intensity in the Magnitude of the "Interval Effect" in Beta Estimation: Empirical Evidence from the Polish Capital Market 2016Betas Used by Professors: A Survey With 2,500 Answers

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Year1997

Typearticle

Published1997-07-01

VenuePacific-Basin Finance Journal

ISSN-L0927-538X

Languageen

Citations54

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s0927-538x(97)00006-1

openalex_workW1998674331

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