Intervalling Effect on Estimating the Beta Parameter for the Largest Companies on the WSE

• Autorzy: Wiesław Dębski , Ewa Feder-Sempach , Bartosz Świderski
• Języki publikacji: EN

Abstrakty

EN

In the modern portfolio theory investment risk plays a crucial role. It is the subject of numerous studies and publications, in particular in relation to the management of investment portfolios. Commonly used measure of investment management in equities is a beta parameter, which is used to estimate individual stock risk and portfolio risk. In particular, numerous studies the subject of which are the beta parameter properties such as stability in the context of the stock market cycle phases, intervalling effect, length estimation sample etc. The main objective of this paper is to investigate the intervalling effect on the beta parameter. The empirical analysis is carried out for the 33 largest companies of the Warsaw Stock Exchange (WSE) on a sample from the years 2005 to 2012 on the basis of daily, weekly and monthly rates of return. Statistical verification of the hypothesis of the importance of the frequency measuring the return of shares will be based on the single-index Sharpe's model.(original abstract)

Słowa kluczowe

PL

Współczynnik Beta; Spółki giełdowe; Portfel inwestycyjny; Teoria ryzyka

EN

Beta factor; Stock market companies; Investment portfolio; Theory of risk

• Czasopismo: Folia Oeconomica Stetinensia
• Rocznik: 2014
• Tom: 14
• Numer: nr 2
• Strony: 270-286

Twórcy

autor

Wiesław Dębski

• University of Finance and Management in Warsaw, Poland

autor

Ewa Feder-Sempach

• University of Lodz, Poland

autor

Bartosz Świderski

• Warsaw University of Life Sciences - SGGW, Poland

Bibliografia

• Alexander, G.J. & Benson, P.G. (1982). More on Beta as a Random Coefficient. Journal of Financial and Quantitative Analysis, 17, 1.
• Armitage, S. & Brzeszczynski, J. (2011). Heteroscedasticity and interval effects in estimating beta: UK evidence. Applied Financial Economics, 21, 20.
• Bjornson, B., Kim, H. & Lee, K. (1999). Low and high frequency macroeconomic forces in asset pricing. Quarterly Review of Economics and Finance, 39.
• Blume, M.E. (1971). On the Assessment of Risk. Journal of Finance, 26, 1.
• Brennan, M.J. & Copeland, T.E. (1988). Beta Changes around Stock Splits: A Note. Journal of Finance, 43, 4.
• Brzeszczyński, J., Gajdka, J. & Schabek, T. (2011). The Role of Stock Size and Trading Intensity in the Magnitude of the "Interval Effect" in Beta Estimation: Empirical Evidence from the Polish Capital Market. Emerging Markets Finance & Trade, 47, 1.
• Chen, S. (1982). An Examination of Risk-Return Relationship in Bull and Bear Markets Using Time-Varying Betas. Journal of Financial and Quantitative Analysis, 17, 2.
• Clarkson, P.M. & Thompson, R. (1990). Empirical Estimates of Beta When Investors Face Estimation Risk. Journal of Finance, 45, 2.
• Cohen, K., Hawawini, G., Maier, S., Schwartz, R. & Whitcomb, D. (1980). Implications of microstructure theory for empirical research in stock price behavior. Journal of Finance, 35.
• Corhay, A. (1992). The intervalling effect bias in beta: A note. Journal of Banking & Finance, 16, 1.
• Damodaran, A. (2001). The Dark Side of Valuation. New York: Prentice Hall.
• Daves, P.R., Ehrhardt, M.C. & Kunkel, R.A. (2000). Estimating systematic risk: The choice of return interval and estimation period. Journal of Financial and Strategic Decisions, 13, 1.
• Eubank, A.A. & Zumwalt, J.K. (1979). An Analysis of the Forecast Error Impact of Alternative Beta Adjustment Techniques and Risk Classes. The Journal of Finance, 34, 3.
• Fabozzi, F.F. & Francis, J.C. (1977). Stability Tests for Alphas and Betas over Bull and Bear Market Conditions. The Journal of Finance, 32, 2.
• Feder-Sempach, E. (2011). Ryzyko inwestycyjne. Analiza polskiego rynku akcji. Warszawa: CeDeWu.
• Fisher, L. & Kamin, J.H. (1985). Forecasting Systematic Risk: Estimates of "Raw" Beta that Take Account of the Tendency of Beta to Change and the Heteroskedasticity of Residual Returns. Journal of Financial and Quantitative Analysis, 20, 2.
• Handa, P., Kothari, S.P. & Wasley, C. (1989). The relation between the return interval and betas: Implications for the size effect. Journal of Financial Economics, 23.
• Handa, P., Kothari, S. & Wasley, C. (1993). Sensitivity of Multivariate Tests of the CAPM to the. Return Measurement Interval. Journal of Finance, 48.
• Hawawini, G. (1983). Why Beta Shifts as the Return Interval Changes. Financial Analysts Journal, 39.
• Kim, M. & Zumwalt, K. (1979). An Analysis of Risk in Bull and Bear Markets. Journal of Financial and Quantitative Analysis, 14. 5.
• Krishna, Y.R. (2010). Estimating Systematic Risk: The Return Interval and Proxy for the Market Effect. International Research Journal of Finance and Economics, 51.
• Levy, R.A. (1971). On the Short Term Stationarity of Beta Coefficient. Financial Analysts Journal, 27, 6.
• Levy, R.A. (1974). Beta Coefficient as Predictors of Return. Financial Analysts Journal, 30, 1.
• Lin, W.T. & Chen, Y.H. (1990). Investment Horizon and Beta Coefficient. Journal of Business Research, 21, 1.
• Maddala, G.S. (2008). Ekonometria. Warszawa: Wydawnictwo Naukowe PWN.
• Mukherji, S. (2009). The Impact of the Return Interval on Beta Estimation. Journal of International Finance and Economics, 9, 1.
• Saniga, E.M., McInish, T.H. & Gouldey, B.K. (1981). The Effect of Differencing Interval Length on Beta. The Journal of Financial Research, 4, 2.
• Sercu, P., Vanderbroek, M. & Vinaimont, T. (2008). Thin - Trading Effects in Beta: Bias v. Estimation Error. Journal of Business Finance and Accounting, 35, 9/10.
• Sharpe, W.F. (1963). A Simplified Model of Portfolio Analysis. Management Science, 9, 2.
• Sharpe, W.F. (1964). Capital asset prices: A theory of market equilibrium under condition of risk. Journal of Finance, 19.
• Smith, K. (1978). The Effect of Intervaling on estimating Parameters of the Capital Asset pricing Model. Journal of Financial and Quantitative Analysis, 23.

Identyfikatory

DOI

10.1515/foli-2015-0018