Purpose – This paper aims to investigate the intervalling effect bias in ETFs' systematic risk expressed by beta. The … authors' findings reveal the existence of a significant intervalling effect on ETFs' beta obtained by the ordinary least … frequently traded ETFs is biased upwards. Finally, the paper reveals a strong intervalling effect on ETFs' tracking error. Design …

Purpose – This paper aims to investigate the intervalling effect bias in ETFs' systematic risk expressed by beta. The … authors' findings reveal the existence of a significant intervalling effect on ETFs' beta obtained by the ordinary least … frequently traded ETFs is biased upwards. Finally, the paper reveals a strong intervalling effect on ETFs' tracking error. Design …

conditionally heteroscedastic; to examine, whether or not, there exists an intervalling effect in conditional heteroscedasticity in … intervalling effect in ARCH in the residuals of the MM is examined for the first time.  … – Empirical evidence is provided for the existence of: conditional heteroscedasticity in MM residuals; a pronounced intervalling …

conditionally heteroscedastic; to examine, whether or not, there exists an intervalling effect in conditional heteroscedasticity in … intervalling effect in ARCH in the residuals of the MM is examined for the first time. … – Empirical evidence is provided for the existence of: conditional heteroscedasticity in MM residuals; a pronounced intervalling …

conditionally heteroscedastic; to examine, whether or not, there exists an intervalling effect in conditional heteroscedasticity in … intervalling effect in ARCH in the residuals of the MM is examined for the first time. … – Empirical evidence is provided for the existence of: conditional heteroscedasticity in MM residuals; a pronounced intervalling …

"intervalling-effect" bias. In this paper, we present and empirically test two procedures for correcting this bias. The first is to … procedure is to infer the value of beta by adjusting OLS beta for cross-sectional differences in the intervalling effect as a …