search query: @author MacDonald, D. / total: 3
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| Author: | Taube, P. MacDonald, D. Tripathy, N. |
| Title: | Seasonals, price adjustment delays and estimated systematic risk |
| Journal: | Review of Quantitative Finance and Accounting
1994 : OCT, VOL. 4:3, p. 265-289 |
| Index terms: | ACCOUNTING PRICES MARKETS |
| Language: | eng |
| Abstract: | This article analyzed potential interactions between seasonals and price adjustment delays on estimated systematic risk. It was shown that seasonals in unobservable true security returns can induce inconsistencies into the generalized Scholes and Williams estimator of systematic risk. An alternative estimator was proposed that is consistent in the presence of seasonals in the unobservable true returns. The empirical findings indicate that seasonals and price adjustment delays can interact to bias estimated systematic risk. |
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