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Estimating and Adjusting for the Intervalling-Effect Bias in Beta
7 references·16 citing·46 second hop
Estimating and Adjusting for the Intervalling-Effect Bias in Beta (1983)Estimating and Adjusting for the Interval…Friction in the trading process and the estimation of systematic risk (1983)Friction in the trading proce…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…The Theoretical Relationship Between Systematic Risk and Financial (Accounting) Variables (1979)The Theoretical Relationship …Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Valuing the carbon exposure of European utilities. The role of fuel mix, permit allocation and replacement investments (2012)Valuing the carbon exposure o…Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets (2009)Systematic risk and time scal…On portfolio optimization: How and when do we benefit from high‐frequency data? (2009)On portfolio optimization: Ho…Opening and closing behavior following the introduction of call auctions in Singapore (2006)Opening and closing behavior …Agency Problems and Capital Expenditure Announcements (2004)Agency Problems and Capital E…An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns (2003)An Econometric Model of Seria…The impact of the return interval on the estimation of systematic risk (1997)The impact of the return inte…22 Modeling market microstructure time series (1996)22 Modeling market microstruc…THIN TRADING AND THE ESTIMATION OF BETAS: THE EFFICACY OF ALTERNATIVE TECHNIQUES (1994)THIN TRADING AND THE ESTIMATI…Corporate Events, Trading Activity, and the Estimation of Systematic Risk: Evidence From Equity Offerings and Share Repurchases (1994)Corporate Events, Trading Act…The intervalling effect bias in beta: A note (1992)The intervalling effect bias …An assessment of risk and return: some empirical findings from the Hong Kong stock exchange (1992)An assessment of risk and ret…Announcement effects and market efficiency in a thin market: An empirical application to the Singapore equity market (1989)Announcement effects and mark…Price discovery in securities markets (1986)Price discovery in securities…MARKET REACTION TO NYSE LISTINGS: TESTS OF THE MARKETABILITY GAINS HYPOTHESIS (1986)MARKET REACTION TO NYSE LISTI…Adjusting for Beta Bias: An Assessment of Alternate Techniques: A Note (1986)Adjusting for Beta Bias: An A…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Some Reflections on Analysis of High-Frequency Data (2000)Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models (2003)The Estimation of Leverage Effect With High-Frequency Data (2013)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)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)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 Pricing of Options and Corporate Liabilities (1973)The association between unexpected earnings and abnormal security returns in the presence of financial leverage* (1991)Operating Lease Accounting and the Market's Assessment of Equity Risk (1995)Does Community and Environmental Responsibility Affect Firm Risk? Evidence from UK Panel Data 1994-2006 (2010)The Cost of Transacting (1968)Market Making and the Changing Structure of the Securities Industry (1985)Institutional Investors and the Informational Efficiency of Prices (2005)Determining the contributions to price discovery for Chinese cross-listed stocks (2007)How China's current carbon trading policy affects carbon price? An investigation of the Shanghai Emission Trading Scheme pilot (2018)Expected stock returns and volatility (1987)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Using High-Frequency Data in Dynamic Portfolio Choice (2008)Financial Risk Measurement for Financial Risk Management (2013)Realized semibetas: Disentangling “good” and “bad” downside risks (2021)Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)The Association Between Market Determined and Accounting Determined Risk Measures. 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this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1983Friction in the trading process and the estimation of systematic risk345 cited
  • 1979The Theoretical Relationship Between Systematic Risk and Financial (Accounting) Variables306 cited
  • 1980Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks191 cited
  • 1980Implications of Microstructure Theory for Empirical Research on Stock Price Behavior165 cited

Cited by

  • 2009On portfolio optimization: How and when do we benefit from high‐frequency data?107 cited
  • 199622 Modeling market microstructure time series107 cited
  • 1986Price discovery in securities markets105 cited
  • 2009Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets79 cited
  • 2004Agency Problems and Capital Expenditure Announcements77 cited
  • 1994Corporate Events, Trading Activity, and the Estimation of Systematic Risk: Evidence From Equity Offerings and Share Repurchases73 cited
  • 2012Valuing the carbon exposure of European utilities. The role of fuel mix, permit allocation and replacement investments

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73 cited
  • 2006Opening and closing behavior following the introduction of call auctions in Singapore70 cited
  • 1986MARKET REACTION TO NYSE LISTINGS: TESTS OF THE MARKETABILITY GAINS HYPOTHESIS70 cited
  • 1994THIN TRADING AND THE ESTIMATION OF BETAS: THE EFFICACY OF ALTERNATIVE TECHNIQUES64 cited
  • 1986Adjusting for Beta Bias: An Assessment of Alternate Techniques: A Note63 cited
  • 2003An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns57 cited
  • 1997The impact of the return interval on the estimation of systematic risk54 cited
  • 1989Announcement effects and market efficiency in a thin market: An empirical application to the Singapore equity market44 cited
  • 1992The intervalling effect bias in beta: A note42 cited
  • 1992An assessment of risk and return: some empirical findings from the Hong Kong stock exchange42 cited