RETURN INTERVAL, FIRM SIZE AND SYSTEMATIC RISK ON THE DUTCH STOCK MARKET

Albert Corhay and Alireza Tourani-Rad

Review of Financial Economics, 1993, vol. 2, issue 2, 19-28

Abstract: In this paper we investigate the behavior of betas of 50 Dutch firms as a function of the return measurement interval. We find beta estimates measured from different intervals differ significantly from each other. As the sample mainly contains stocks that are relatively thin compared to the index, beta estimates from short intervals are on average lower than those obtained from longer intervals. The results further indicate that there exists some variability in the beta coefficients for each interval length. Betas depend on the manner daily prices are juxtaposed to calculate the returns. A way to account for this variability is to average the different betas for each interval length. Asymptotic betas are also computed to show the appropriateness of this method. Finally we show that the size effect is reduced when the interval length is increased, although it remains statistically significant.

Date: 1993
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1002/j.1873-5924.1993.tb00562.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:revfec:v:2:y:1993:i:2:p:19-28

Access Statistics for this article

More articles in Review of Financial Economics from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().