Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167818
Authors: 
Dadakas, Dimitrios
Karpetis, Christos
Fassas, Athanasios
Varelas, Erotokritos
Year of Publication: 
2016
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 4 [Year:] 2016 [Issue:] 4 [Pages:] 1-13
Abstract: 
The stock beta coefficient literature extensively discusses the proper methods for the estimation of beta as well as its use in asset valuation. However, there are fewer references with respect to the appropriate time horizon that investors should utilize when evaluating the risk-return relationship of a stock. We examine the appropriate time horizon for beta estimation, differentiating our results by sector according to the Industry Classification Benchmark. We employ data from the NYSE and estimate varying lengths of beta employing data from 30 to 250 trading days. The constructed beta series is then examined for the presence of breaks using the endogenous structural break literature. Results show evidence against the use of betas that employ more than 90 trading days of data provisional to the sector under study.
Subjects: 
stock beta
endogenous structural breaks
time horizon
JEL: 
C10
C22
C59
G12
G19
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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