Hostname: page-component-78c5997874-v9fdk Total loading time: 0 Render date: 2024-11-03T00:08:38.677Z Has data issue: false hasContentIssue false
  • English
  • Français

Evidence of Intertemporal Systematic Risks in the Dailty Price Movements of NYSE and AMEX Common Stocks

Published online by Cambridge University Press:  06 April 2009

Gabriel A. Hawawini  and
Ashok Vora
Get access Rights & Permissions [Opens in a new window]

Extract

In a recent paper in this Journal Francis [3] has examined the intertemporal systematic cross dependence between the monthly returns of securities and those of a market index. Based on the monthly price behavior of a sample of 770 common stocks listed continuously on the New York Stock Exchange (NYSE) from 1958 to 1967 he concludes that, relative to the general market movement, there is no consistent pattern of leads or lags for securities' monthly returns. In other words, the monthlyreturns of securities do not precede or follow the monthly returns on the market index.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 15 , Issue 2 , June 1980 , pp. 331 - 339
Copyright
Copyright © School of Business Administration, University of Washington 1980

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Cohen, Kalman; Maier, S.; Schwartz, R.; and Whitcomb, D.. “On the Existence of Serial Correlation in an Efficient Securities Market.” TIMS STUDIES in Management Sciences (1979), pp. 151–168 (Management Science, special issues series).Google Scholar
[2]Cohen, Kalman; Hawawini, G.; Maier, S.; Schwartz, R.; and Whitcomb, D.. “Removing the Intervaling Effect Bias in Beta: Theory and Tests.” Presented at the annual meeting of The American Finance Association. Chicago (08 1978).Google Scholar
[3]Francis, Jack. “Intertemporal Differences in Systematic Stock Price Movements.” Journal of Financial and Quantitative Analysis (06 1975), pp. 205–220.CrossRefGoogle Scholar
[4]Hawawini, Gabriel. “Intertemporal Cross Dependence in Securities Daily Returns and the Short Run Intervaling Effect on Systematic Risk.” Journal of Financial and Quantitative Analysis (03 1980), pp. 139–150.CrossRefGoogle Scholar
[5]Hawawini, Gabriel. “On the Time Behavior of Financial Parameter: AnInvestigation of the Intervaling Effect.” Unpublished Ph.D. Dissertation, New York University (1977).Google Scholar
[6]Pogue, Gerald and Solnik, B.. “The Market Model Applied to European Common Stock: Some Empirical Results.” Journal of Financial and Quantitative Analysis (12 1974), pp. 917–944.CrossRefGoogle Scholar
[7]Scholes, Myron and Williams, J.. “Estimating Betas from Nonsynchronous Data.” Journal of Financial Economics (12 1977), pp. 309–328.CrossRefGoogle Scholar
[8]Sharpe, William. “A Simplified Model for Portfolio Analysis.” Managemen Science (01 1963), pp. 277–293.CrossRefGoogle Scholar