The intervalling effect bias in beta: a note

[en] Based on a comprehensive sample of domestic securities traded on the Brussels Stock Exchange, this paper points out the intervalling effect in the estimated betas and examines the speed of convergence of these. The results reveal that the estimated betas seem to converge to their asymptotic values and that their value depends on what day the differencing interval starts. It also appears that the magnitude of the intervalling effect is inversely related to the market value of the firms.

Disciplines :

Finance

Author, co-author :

Corhay, Albert ; Université de Liège - ULiège > Comptabilité et finance

Language :

English

Title :

The intervalling effect bias in beta: a note

Publication date :

May 1992

Journal title :

Journal of Banking and Finance

ISSN :

0378-4266

eISSN :

1872-6372

Publisher :

Elsevier

Volume :

Issue :

Pages :

61-73

Peer reviewed :

Peer Reviewed verified by ORBi

Additional URL :

http://www.elsevier.com/wps/find/journaldescription.cws_home/505558/description#description

Available on ORBi :

since 25 July 2011

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Bibliography

Banz (1981) The relationship between return and market value of common stocks. Journal of Financial Economics 9:3-18.
Cohen K.J. Hawawini G.A. Maier S.F. Schwartz R.A. Whitcomb D.K. Estimating and adjusting for the intervalling effect bias in beta. Management Science 29 135–148. 1983a
.
Corhay (1988) The adjustment for the intervalling effect bias in beta: A broader and multiperiod test. Working paper 88-26, European Institute for Advanced Studies in Management, Brussels; .
Dimson (1979) Risk measurement when shares are subject to infrequent trading. Journal of Financial Economics 7:197-226.
Fowler, Rorke (1983) Risk measurement when shares are subject to infrequent trading: Comment. Journal of Financial Economics 12:279-283.
Hawawini (1980) Intertemporal cross-dependence in securities daily returns and the short-run intervalling effect on systematic risk. The Journal of Financial and Quantitative Analysis 15:139-149.
Levhari, Levy (1977) The capital asset pricing model and the investment horizon. The Review of Economics and Statistics 59:92-104.
Pogue, Solnik (1974) The market model applied to European common stocks Some empirical results. The Journal of Financial and Quantitative Analysis 9:917-944.
Scholes, Williams (1977) Estimating betas from nonsynchronous data. Journal of Financial Economics 5:309-327.

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