Search Results - subject:"Intervalling effect"

The Beta intervalling effect during a deep economic crisis: Evidence from Greece

Mantsios, Georgios; Xanthopoulos, Stylianos - In: International Journal of Business and Economic Sciences … 9 (2016) 1, pp. 19-26

Purpose - The intervalling effect bias of beta refers to the sensitivity of beta estimation with respect to the …. The purpose of this paper is to study the intervalling effect bias within an environment and during a sample period that … portfolio. Findings - The intensity of the intervalling effect bias was very pronounced during this sample period with regard to …

Persistent link: https://www.econbiz.de/10011516744

The Beta intervalling effect during a deep economic crisis : evidence from Greece

Mantsios, Georgios; Xanthopoulos, Stylianos - In: International journal of business and economic sciences … 9 (2016) 1, pp. 19-26

Persistent link: https://www.econbiz.de/10011489951

Intervalling-effect bias and evidences for competition policy

Fotis, Panagiotis; Pekka, Victoria; Polemis, Michael - Volkswirtschaftliche Fakultät, … - 2015

The purpose of this paper is on the one hand to analyze whether the security’s systematic risk beta estimates change as the infrequent trading phenomenon appears and on the other hand to provide useful insight on the impact of mergers and acquisitions on competition policy. The paper employs...

Persistent link: https://www.econbiz.de/10011211862

A conditional CAPM; implications for the estimation of systematic risk

Milionis, Alexandros E.; Patsouri, Dimitra K. - Bank of Greece - 2011

heteroscedastic; (ii) whether or not, there exists an intervalling effect in conditional heteroscedasticity in the residuals of the … pronounced intervalling effect on ARCH in MM residuals; (c) GARCH in mean type of conditional heteroscedasticity for the majority …

Persistent link: https://www.econbiz.de/10010613020