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The impact of the return interval on the estimation of systematic risk
16 references·3 citing·35 second hop
The impact of the return interval on the estimation of systematic risk (1997)The impact of the return interval on the …The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The relation between the return interval and betas (1989)The relation between the retu…The Microstructure of Securities Markets. (1986)The Microstructure of Securit…Using daily stock returns (1985)Using daily stock returnsAn Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model (1984)An Empirical Investigation of…Risk measurement when shares are subject to infrequent trading (1983)Risk measurement when shares …Friction in the trading process and the estimation of systematic risk (1983)Friction in the trading proce…A Possible Explanation of the Small Firm Effect (1981)A Possible Explanation of the…Measuring security price performance (1980)Measuring security price perf…Implications of Microstructure Theory for Empirical Research on Stock Price Behavior (1980)Implications of Microstructur…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …The Capital Asset Pricing Model and the Investment Horizon (1977)The Capital Asset Pricing Mod…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…BETAS AND THEIR REGRESSION TENDENCIES (1975)BETAS AND THEIR REGRESSION TE…ON THE ASSESSMENT OF RISK (1971)ON THE ASSESSMENT OF RISKSome New Stock-Market Indexes (1966)Some New Stock-Market IndexesBetas Used by Professors: A Survey With 2,500 Answers (2016)Betas Used by Professors: A S…The Role of Stock Size and Trading Intensity in the Magnitude of the "Interval Effect" in Beta Estimation: Empirical Evidence from the Polish Capital Market (2011)The Role of Stock Size and Tr…Liquidity and stock returns: Evidence from a pure order-driven market using a new liquidity proxy (2005)Liquidity and stock returns: …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)R2 around the world: New theory and new tests☆ (2005)Price performance of common stock new issues (1975)Towards Reconciliation of Market Performance Measures to Strategic Management Research (1986)The distribution of earnings news over time and seasonalities in aggregate stock returns (1987)The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias (1992)The capital asset pricing model: Some empirical tests (1972)Studies in the Theory of Capital Markets. (1973)Co-Skewness and Capital Asset Pricing (1980)Optimization Methods in Finance (2006)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)The relationship between return and market value of common stocks (1981)Some Empirical Tests of the Theory of Arbitrage Pricing (1983)Transaction costs and the small firm effect (1983)Fundamental Indexation (2005)The Adjustment of Stock Prices to New Information (1969)Event Studies in Economics and Finance (1997)Introductory Econometrics for Finance (2008)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Common risk factors in the returns on stocks and bonds (1993)Transaction costs and the small firm effect (1983)An Investigation of Transactions Data for NYSE Stocks (1985)Risk aversion, uncertain information, and market efficiency (1988)The option pricing model and the risk factor of stock (1976)Foundations of Portfolio Theory (1991)
this work references cited by second hop

References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1985Using daily stock returns6,497 cited
  • 1980Measuring security price performance3,330 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1971ON THE ASSESSMENT OF RISK721 cited
  • 1975BETAS AND THEIR REGRESSION TENDENCIES548 cited
  • 1966Some New Stock-Market Indexes538 cited
  • 1981A Possible Explanation of the Small Firm Effect432 cited
  • 1983Friction in the trading process and the estimation of systematic risk345 cited
  • 1984An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model280 cited
  • 1977The Capital Asset Pricing Model and the Investment Horizon255 cited
  • 1983Risk measurement when shares are subject to infrequent trading240 cited
  • 1989The relation between the return interval and betas234 cited
  • 1980Implications of Microstructure Theory for Empirical Research on Stock Price Behavior165 cited
  • 1986The Microstructure of Securities Markets.

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162 cited

Cited by

  • 2005Liquidity and stock returns: Evidence from a pure order-driven market using a new liquidity proxy36 cited
  • 2011The Role of Stock Size and Trading Intensity in the Magnitude of the "Interval Effect" in Beta Estimation: Empirical Evidence from the Polish Capital Market35 cited
  • 2016Betas Used by Professors: A Survey With 2,500 Answers34 cited