The relationship of capitalization period length with market portfolio composition and betas

Jordi Esteve Comas and Didac Ramirez Sarrio
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Didac Ramirez Sarrio: Universitat de Barcelona

No 176, Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia

Abstract: Beta coefficients are not stable if we modify the observation periods of the returns. The market portfolio composition also varies, whereas changes in the betas are the same, whether they are calculated as regression coefficients or as a ratio of the risk premiums. The instantaneous beta, obtained when the capitalization frequency approaches infinity, may be a useful tool in portfolio selection.

JEL-codes: G11 G12 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2007
New Economics Papers: this item is included in nep-fmk
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