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Time Aggregation and the Estimation of the Market Model: Empirical Evidence
16 references·0 citing·36 second hop
Time Aggregation and the Estimation of the Market Model: Empirical Evidence (1987)Time Aggregation and the Estimation of th…American Economic Review (2019)American Economic ReviewThe theory and practice of econometrics (1986)The theory and practice of ec…The Econometric Analysis of Time Series. (1983)The Econometric Analysis of T…Friction in the trading process and the estimation of systematic risk (1983)Friction in the trading proce…Estimating and Adjusting for the Intervalling-Effect Bias in Beta (1983)Estimating and Adjusting for …Measurement of Linear Dependence and Feedback Between Multiple Time Series (1982)Measurement of Linear Depende…A Direct Test of Roll's Conjecture on the Firm Size Effect (1982)A Direct Test of Roll's Conje…Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks (1980)Stationarity of Market Risk: …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 …Beta as a Random Coefficient (1978)Beta as a Random CoefficientRelationships—and the Lack Thereof—Between Economic Time Series, with Special Reference to Money and Interest Rates (1977)Relationships—and the Lack Th…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables (1970)Testing for Serial Correlatio…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…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)Using daily stock returns (1985)The Cross-Section of Expected Stock Returns (1992)R2 around the world: New theory and new tests☆ (2005)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)MONEY, INCOME, AND CAUSALITY (1972)Comparing alternative tests of causality in temporal systems (1983)Consciousness and Complexity (1998)Granger Causality and Transfer Entropy Are Equivalent for Gaussian Variables (2009)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (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)Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Adjustment of Stock Prices to New Information (2003)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Common risk factors in the returns on stocks and bonds (1993)DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS (1983)Modeling and pricing long memory in stock market volatility (1996)Social Change and Crime Rate Trends: A Routine Activity Approach (1979) (2010)Asset pricing and the bid-ask spread (1986)The Effect of National Culture on the Choice of Entry Mode (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Generalized autoregressive conditional heteroskedasticity (1986)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model (1984)Time‐Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques (1998)The determinants of CDS spreads (2013)Upper Echelons: The Organization as a Reflection of Its Top Managers (1984)The Relational View: Cooperative Strategy and Sources of Interorganizational Competitive Advantage (1998)The Promise of Entrepreneurship as a Field of Research (2000)
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References

  • 2019American Economic Review10,902 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1986The theory and practice of econometrics4,342 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1982Measurement of Linear Dependence and Feedback Between Multiple Time Series2,056 cited
  • 1970Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables1,184 cited
  • 1983The Econometric Analysis of Time Series.900 cited
  • 1978Beta as a Random Coefficient385 cited
  • 1983Friction in the trading process and the estimation of systematic risk345 cited
  • 1977Relationships—and the Lack Thereof—Between Economic Time Series, with Special Reference to Money and Interest Rates307 cited
  • 1980Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks191 cited
  • 1982A Direct Test of Roll's Conjecture on the Firm Size Effect187 cited
  • 1980Implications of Microstructure Theory for Empirical Research on Stock Price Behavior165 cited

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  • 1983Estimating and Adjusting for the Intervalling-Effect Bias in Beta146 cited
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