The intervalling effect bias in beta: a note
Article Abstract:
The beta coefficient of a stock security is significantly affected by the choice of differencing interval length used to calculate yield. A study was conducted to prove this intervalling effect on estimated betas and to see how the asymptotic values of the betas meet when the differencing interval is increased. The Market Model test was applied on data from 250 securities which were traded daily in the Brussels Stock Exchange between 1977 and 1985 divided in three timeframe periods. The tests concluded that the intervalling effect bias is lower when returns are measured using longer differencing intervals.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1992
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A contribution to event study methodology with an application to the Dutch stock market
Article Abstract:
Hypothetical event studies are based on simplistic market models which analyze stock returns in direct relation with market index returns and a constant variable. Studies indicate that this simple model does not accurately measure the return distribution. A broader market model study was conducted on the Dutch stock market daily returns using the generalized autoregressive conditional heteroskedasticity pattern. The studies concluded that event studies should always take into consideration fat tails and heteroskedasticity factors for reliable results.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1992
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Stock returns and volatility: an empirical study of the UK stock market
Article Abstract:
A recent US study to measure the relationship between stock market risk and returns gave inconclusive results. The research was expanded to the UK stock market using the ARCH and the GARCH-M modes. Volatility of the study was measured by stock market. Stock market values from the Financial Times All Share Index. The results showed that expected returns had a positive but insignificant effect on expected volatility and that there exists a negative relationship only when standard deviations are used in volatility expectations.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1992
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