The Interval Effect in Estimating Beta: Empirical Evidence from the Romanian Stock Market

Dragos Stefan Oprea

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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.

 

 

 

 

 
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