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The intervalling effect bias in beta: A note

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References

1981The relationship between return and market value of common stocks5,928 cited
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1977Estimating betas from nonsynchronous data2,751 cited
1983Friction in the trading process and the estimation of systematic risk345 cited
1977The Capital Asset Pricing Model and the Investment Horizon255 cited
1983Risk measurement when shares are subject to infrequent trading240 cited
1983Estimating and Adjusting for the Intervalling-Effect Bias in Beta146 cited
1974The Market Model Applied to European Common Stocks: Some Empirical Results100 cited
1980Intertemporal Cross-Dependence in Securities Daily Returns and the Short-Run Intervaling Effect on Systematic Risk66 cited

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2016Betas Used by Professors: A Survey With 2,500 Answers34 cited
2022A conditional CAPM: implications for the estimation of systematic risk33 cited
2003Investment Basics XLVI. On estimating the beta coefficient31 cited

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2008Estimating betas in thinner markets: "the case of the Athens Stock Exchange"19 cited

1997Estimation of risk on the Brussels Stock Exchange: Methodological issues and empirical results17 cited