Time Aggregation and the Estimation of the Market Model
Empirical Evidence
Bibliographic Data
| ID | 19418907 |
|---|---|
| Authors | Phillip A Cartwright (0000-0002-1318-393X, University of Georgia), Cheng F Lee (University of Illinois Urbana-Champaign) |
| Year | 1987 |
| Volume | 5 |
| Issue | 1 |
| Pages | 131-143 |
| Publication date | 1987-01-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1987.10509568 |
| OpenAlex | W2046901019 |
| Language | EN |
| References cited | 22 |
Data for heavily and lightly traded firms are used to evaluate the effects of temporal aggregation on beta estimates, t values, and R 2 estimates. In addition to our analysis of the standard market model, dynamic and random coefficient models are estimated. This study evaluates differences in the short-term and long-term dynamic relationships between the market and each type of firm. It is found that temporal aggregation has important effects on both the specification of a market model and the stability of beta estimates
Econometrics · Economics · Estimation · Market data · Random effects model · Specification · Statistics · Complex Systems and Time Series Analysis · Computer Science · Corporate Finance and Governance · Financial Markets and Investment Strategies · Mathematics
The econometric analysis of time series
An Intertemporal Capital Asset Pricing Model
Testing for Serial Correlation in Least Squares Regression. Ii
A Simplified Model for Portfolio Analysis
Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables
Model Identification in Dynamic Regression (Distributed Lag) Models
A Study of Some Aspects of Temporal Aggregation Problems in Econometric Analyses
| Citation velocity | historical |
|---|---|
| Highly cited | No |