Article (Scientific journals)
The intervalling effect bias in beta: a note
Corhay, Albert
1992In Journal of Banking and Finance, 16 (1), p. 61-73
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Abstract :
[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 :
16
Issue :
1
Pages :
61-73
Peer reviewed :
Peer Reviewed verified by ORBi
Available on ORBi :
since 25 July 2011

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