The impact of the return interval on the estimation of systematic risk

The Cross‐Section of Expected Stock Returns

1992 • 15,031 citations

Using daily stock returns

1985 • 6,463 citations

The Cross-Section of Expected Stock Returns

1992 • 5,405 citations

Measuring security price performance

1980 • 3,397 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

Risk measurement when shares are subject to infrequent trading

1979 • 2,767 citations

ON THE ASSESSMENT OF RISK

1971 • 736 citations

Some New Stock-Market Indexes

1966 • 558 citations

BETAS AND THEIR REGRESSION TENDENCIES

1975 • 538 citations

A Possible Explanation of the Small Firm Effect

1981 • 422 citations

Friction in the trading process and the estimation of systematic risk

1983 • 362 citations

An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model

1984 • 286 citations

The Capital Asset Pricing Model and the Investment Horizon

1977 • 266 citations

The relation between the return interval and betas

1989 • 252 citations

Risk measurement when shares are subject to infrequent trading

1983 • 248 citations

The Microstructure of Securities Markets.

1986 • 178 citations

Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

1980 • 172 citations

Estimating and Adjusting for the Intervalling-Effect Bias in Beta

1983 • 154 citations

Robust Measurement of Beta Risk

1992 • 152 citations

Some Further Evidence on the Stochastic Properties of Systematic Risk

1987 • 138 citations

Betas and Their Regression Tendencies

1975 • 132 citations

Why Beta Shifts as the Return Interval Changes

1983 • 95 citations

A Possible Explanation of the Small Firm Effect

1981 • 92 citations

The form of time variation of systematic risk: some Australian evidence

1992 • 87 citations

On the Assessment of Risk

1971 • 84 citations

Sensitivity of Multivariate Tests of the Capital Asset‐Pricing Model to the Return Measurement Interval

1993 • 78 citations

The Effect of Intervaling on Estimating Parameters of the Capital Asset Pricing Model

1978 • 72 citations

Adjusting for Beta Bias: An Assessment of Alternate Techniques: A Note

1986 • 69 citations

The extent of nonstationarity of beta

1993 • 44 citations

Research design issues in the estimation of Beta

1997 • 43 citations

Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

1980 • 41 citations

DIDMCA and bank market risk: Theory and evidence

1992 • 36 citations

EMPIRICAL IRREGULARITIES IN THE ESTIMATION OF BETA: THE IMPACT OF ALTERNATIVE ESTIMATION ASSUMPTIONS AND PROCEDURES

1995 • 30 citations

A BIAS‐CORRECTING PROCEDURE FOR BETA ESTIMATION IN THE PRESENCE OF THIN TRADING

1989 • 28 citations

Modelling Australian stock market volatility

2011 • 26 citations

Compounding period length and the market model

1994 • 25 citations

The impact of market contestability on the systematic risk of US bank stocks

1994 • 24 citations

Sensitivity of Multivariate Tests of the Capital Asset-Pricing Model to the Return Measurement Interval

1993 • 20 citations

Should the holding period matter for the intertemporal consumption-based CAPM?

1991 • 20 citations

Intraday Patterns in Returns, Trading Volume, Volatility and Trading Frequency on SEATS

1993 • 20 citations

Regulation, Risk and the Pricing of Australian Bank Shares, 1957–1976*

1984 • 19 citations

Should the Holding Period Matter for the Intertemporal Consumption-BasedCAPM?

1991 • 19 citations

Consumer Instalment and Home-Mortgage Debt

1956 • 17 citations

Tax-Adjusted Duration for Amortizing Debt Instruments

1988 • 11 citations

The Distribution of Stock Market Returns: Tests of Normality

1982 • 11 citations

Adjusting for Beta Bias: An Assessment of Alternate Techniques: A Note

1986 • 9 citations

An Evaluation of Alternative Methods for Estimating Systematic Risk

1984 • 6 citations

Temporal dependence in asset pricing models

1994 • 4 citations