Back to search

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

Data up to Jan 2025

Published1979
Citations8
References22

Total Citations Per Year

Abstract

References (22)

AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE

1978 • 408 citations

The Capital Asset Pricing Model and the Investment Horizon

1977 • 266 citations

Portfolio Performance and the Investment Horizon

1972 • 135 citations

A Study of Some Aspects of Temporal Aggregation Problems in Econometric Analyses

1971 • 112 citations

Effect of temporal aggregation on the dynamic relationship of two time series variables

1976 • 102 citations

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

1974 • 101 citations

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

1974 • 81 citations

THE TIME‐VARIANCE RELATIONSHIP: EVIDENCE ON AUTOCORRELATION IN COMMON STOCK RETURNS

1977 • 78 citations

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

1978 • 72 citations

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

1977 • 61 citations

THE ASSOCIATION BETWEEN MARKET-DETERMINED RISK MEASURES FOR BONDS AND BOND RATINGS*

1976 • 45 citations

The Time-Variance Relationship: Evidence on Autocorrelation in Common Stock Returns

1977 • 31 citations

Systematic Risk and the Horizon Problem

1973 • 22 citations

Mixed Security Testing of Alternative Portfolio Selection Models

1977 • 14 citations

On the Relationship Between the Systematic Risk and the Investment Horizon

1976 • 13 citations

SYSTEMATIC RISK FOR HETEROGENEOUS TIME HORIZONS

1975 • 12 citations

Time Aggregation, Coefficient of Determination and Systematic Risk of The Market Model*

1978 • 12 citations

Autocorrelation, Investment Horizon and Efficient Frontier Composition

1979 • 11 citations

AN EXAMINATION OF THE YIELDS OF CORPORATE BONDS AND STOCKS

1974 • 11 citations

CAPITAL MARKET IMPERFECTIONS AND THE COMPOSITION OF OPTIMAL PORTFOLIOS

1974 • 8 citations

Comment: Systematic Risk and the Horizon Problem

1973 • 3 citations

The Relationship of Bond Betas to Bond Returns and Agency Ratings with a Test of the Capital Asset Pricing Model

1976 • 2 citations

Cited By (0)

Loading...