Reexamination of the Intervalling Effect on the Capm Using a Residual Return Approach

This study examines the impact of the choice of the return differencing interval used in calculating market model parameters on patterns of relative residual returns. Tests are made of the correlation of residual returns across different parameter estimating intervals, resulting in the conclusion that intervallin g bias can be ignored safely in an event study methodology applied to a sample that is drawn from a representative range of trading frequencies.