The Impact of the Return Interval on The estimation of Systematic Risk in Australia

T. Jesev and T. Brailsford

Working Papers from Melbourne - Centre in Finance

Abstract: The estimation of systematic risk (or 'beta') in central to the implementation of the Capital Asset Pricing Model and the market model for both researchers and practioners. It is well known that a variety of beta estimates can result for the one stock dependeng on various factors such as the calculation of returns, choice of the market index, sample period and length of the estimation period. In this paper, we are concerned with one of such facor being the interval over which returns are measured.

Keywords: RISK; ASSET PRICING; FINANCIAL MARKET (search for similar items in EconPapers)
JEL-codes: C82 G12 G13 (search for similar items in EconPapers)
Pages: 25 pages
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:fth:melrfi:96-8

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