The impact of infrequent trading on betas based on daily, weekly and monthly return intervals : empirical evidence with Finnish data

This paper examines the empirical properties of common stock systematic risk estimates measured from daily, weekly and monthly return intervals in the Finnish stock market. Firstly, the effects of infrequent trading on betas measured from the three return intervals are analysed. Secondly, it is aimed to find out whether the differences in the stability of the selected systematic risk estimates can be explained by infrequent trading. Thirdly, the linear risk-return relationship suggested by the CAPM is tested using the different systematic risk estimates. In addition, two widely discussed anomalies, the size-effect and the E/P-effect, are focused in this context.