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ESTIMATING SYSTEMATIC RISK: THE CHOICE OF RETURN INTERVAL AND ESTIMATION PERIOD

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References

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1973Evidence on the Information Content of Accounting Numbers: Accounting-Based and Market-Based Estimates of Systematic Risk243 cited
1974ON THE ASSESSMENT OF RISK: SOME FURTHER CONSIDERATIONS104 cited
1980On the Estimation and Stability of Beta88 cited
1974COMPARATIVE ANALYSIS OF RISK MEASURES: FRANCE AND THE UNITED STATES*86 cited
1978Further Evidence on the Stationarity of Beta Coefficients68 cited
1978The Effect of Intervaling on Estimating Parameters of the Capital Asset Pricing Model68 cited

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2010Faith‐based and sin portfolios47 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
2008Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns30 cited

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