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RETURN INTERVAL, FIRM SIZE AND SYSTEMATIC RISK ON THE DUTCH STOCK MARKET
Author(s) -
Corhay Albert,
Rad Alireza Tourani
Publication year - 1993
Publication title -
review of financial economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.347
H-Index - 41
eISSN - 1873-5924
pISSN - 1058-3300
DOI - 10.1002/j.1873-5924.1993.tb00562.x
Subject(s) - interval (graph theory) , econometrics , mathematics , statistics , systematic risk , stock (firearms) , confidence interval , beta (programming language) , stock market index , stock market , index (typography) , sample size determination , economics , combinatorics , geography , context (archaeology) , archaeology , world wide web , computer science , programming language
In this paper we investigate the behavior of betas of 50 Dutch firms as a function of the return measurement interval. We find beta estimates measured from different intervals differ significantly from each other. As the sample mainly contains stocks that are relatively thin compared to the index, beta estimates from short intervals are on average lower than those obtained from longer intervals. The results further indicate that there exists some variability in the beta coefficients for each interval length. Betas depend on the manner daily prices are juxtaposed to calculate the returns. A way to account for this variability is to average the different betas for each interval length. Asymptotic betas are also computed to show the appropriateness of this method. Finally we show that the size effect is reduced when the interval length is increased, although it remains statistically significant.