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 th...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Quarterly journal of business and economics 1988-07, Vol.27 (3), p.114-129
Hauptverfasser:	Dowen, Richard J., Isberg, Steven C.
Format:	Artikel
Sprache:	eng
Schlagworte:	Absolute magnitude Coefficients Correlation coefficients Estimation bias Financial economics Interval estimators Musical intervals Parametric models Price level changes Regression coefficients
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!