haku: @author Kothari, S. P. / yhteensä: 13
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| Tekijä: | Handa, P. Kothari, S. P. Wasley, C. |
| Otsikko: | The relation between the return interval and betas. Implications for the size effect. |
| Lehti: | Journal of Financial Economics
1989 : JUN, VOL. 23:1, p. 79-100 |
| Asiasana: | RETURN ON INVESTMENT BETA FACTOR |
| Kieli: | eng |
| Tiivistelmä: | Size effects the length of the return interval used in estimating betas. Beta changes with the return interval because an asset's covariance with the market and the market's variance do not change proportionally as the return interval is changed. Beta sensitivity to the return interval is documented. Evidence from cross-sectional regressions of returns on monthly and annual betas is inconsistent with beta changes stemming only from the higher standard errors of the longer-interval betas. The size effect becomes statistically insignificant when risk is measured by betas estimated using annual returns. Finally the results and conclusions are discussed. |
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