文章基本信息

标题：The Interval Effect in Estimating Beta: Empirical Evidence from the Romanian Stock Market
本地全文：下载
作者：Dragos Stefan Oprea
期刊名称：Review of Finance and Banking
印刷版ISSN：2067-2713
电子版ISSN：2067-3825
出版年度：2015
卷号：7
期号：2
页码：16-25
出版社：Bucharest Academy of Economic Studies
摘要：This study presents empirical evidence regarding the interval e§ect in estimation of beta coe¢ cients for stocks listed on the Bucharest Stock Exchange. Employing the standard market model, this paper Önds that beta estimates for the same stock di§ers considerably when daily and monthly returns are used. Further, using a linear regression model, this paper shows that the di§erences between monthly and daily beta estimates are negatively related to some characteristics of stock, like market capitalization and trading intensity.