The Interval Effect in Estimating Beta: Empirical Evidence from the Romanian Stock Market
Journal Title: The Review of Finance and Banking - Year 2015, Vol 7, Issue 2
Abstract
This study presents empirical evidence regarding the interval e¤ect in estimation of beta coeffcients for stocks listed on the Bucharest Stock Exchange. Employing the standard market model, this paper finds that beta estimates for the same stock differs considerably when daily and monthly returns are used. Further, using a linear regression model, this paper shows that the differences between monthly and daily beta estimates are negatively ces to some characteristics of stock, like market capitalization and trading intensity.
Authors and Affiliations
Dragos Stefan Oprea
Keywords
Related Articles
- EP ID EP592275
- DOI -
- Views 174
- Downloads 0
Dividend payout, abnormal returns, and earnings growth of cross-listed firms. The situation in the Four Tigers.
Using a sample of rapidly developing “Four Tigers” (i.e. Hong Kong, Singapore, South Korea, and Taiwan), this paper investigates the influence of the cross-listing effect and the payout policy on a firm performance and v...
Fiscal multipliers in Romania
Using various methods for identifying the econometric model, I estimated the impact and cumulative fiscal multipliers in order to measure the effects of fiscal policy to the real economy. The results come in line with th...
Does Exchange Rate Affect Remittances in Nigeria?
The size and rate of remittances to Nigeria are remarkable. However, theories do not unanimously pin down the effects of exchange rate on remittances. Employing a simple choice-theoretical model, it was discovered that r...
Petroleum subsidy and its impact on tax revenue volatility
Energy pricing did not only have an implication on the indigent but on the national government as well. Petroleum subsidy tolerance impacts the government revenue of certainty but the extent of its impact needs to be det...
The Month-of-the-Year Effect in Post-Communist East European Stock Markets
This paper studies the month-of-the-year (MOY) effect between 2004 and 2014, also considering the impact of the 2008 crisis. MOYis present in most East European countries, but the patterns changebetween countries and, al...