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Intertemporal Cross-Dependence in Securities Daily Returns and the Short-Run Intervaling Effect on Systematic Risk

Published online by Cambridge University Press:  06 April 2009

Gabriel A. Hawawini
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Extract

Statistical estimates of securities' systematic risk and the Market Model R2 are not invariant to the length of the differencing interval over which securities' returns are measured. This phenomenon, referred to as “The Intervaling Effect,” has been widely observed and discussed in the literature. Assuming that returns are multiplicative and independently distributed, Levhari and Levy [7] have developed a model that explains the intervaling effect on systematic risk for differencing intervals of one to 30 months. However, with intervals as, short as a day, their independence assumption does not usually hold.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 15 , Issue 1 , March 1980 , pp. 139 - 149
Copyright
Copyright © School of Business Administration, University of Washington 1980

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References

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