Why beta shifts as the return interval changes

Gabriel Hawawini ()

MPRA Paper from University Library of Munich, Germany

Abstract: The paper examines and explains why estimates of systematic risk (beta coefficient) shift the time-interval used to measure returns changes

Keywords: systematic risk; beta coefficient; intervaling effect; return measurement; regression analysis (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Date: 1983-05
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Citations: View citations in EconPapers (33)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:44893

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