Back to search

Estimating and Adjusting for the Intervalling-Effect Bias in Beta

Data up to Jan 2025

Published1983
Citations154
References20

Total Citations Per Year

Abstract

References (20)

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

1964 • 15,720 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

Risk measurement when shares are subject to infrequent trading

1979 • 2,767 citations

Estimation of Error Rates in Discriminant Analysis

1968 • 1,443 citations

The Relationship Between Variable Selection and Data Agumentation and a Method for Prediction

1974 • 1,319 citations

An Almost Unbiased Method of Obtaining Confidence Intervals for the Probability of Misclassification in Discriminant Analysis

1967 • 506 citations

Friction in the trading process and the estimation of systematic risk

1983 • 362 citations

The Theoretical Relationship Between Systematic Risk and Financial (Accounting) Variables

1979 • 283 citations

Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks

1980 • 179 citations

Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

1980 • 172 citations

SIZE, LEVERAGE, AND DIVIDEND RECORD AS DETERMINANTS OF EQUITY RISK

1975 • 135 citations

The Market Model Applied to European Common Stocks: Some Empirical Results

1974 • 101 citations

The Cost of Capital and the Market Power of Firms

1978 • 101 citations

COMPARATIVE ANALYSIS OF RISK MEASURES: FRANCE AND THE UNITED STATES*

1974 • 81 citations

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

1978 • 72 citations

Intertemporal Cross-Dependence in Securities Daily Returns and the Short-Run Intervaling Effect on Systematic Risk

1980 • 71 citations

Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals

1977 • 61 citations

Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

1980 • 41 citations

THE EFFECT OF INTERVAL SELECTION ON THE PARAMETERS OF THE MARKET MODEL AS APPLIED TO BOND RETURNS*

1979 • 8 citations

On the time-behavior of financial parameters : an investigation of the intervaling effect

1977 • 8 citations

Cited By (0)

Loading...
Estimating and Adjusting for the Intervalling-Effect Bias in Beta (1983) – Management Science | Metascience Observatory Explorer