The intervalling effect bias in beta: a note

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.