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Return intervals, systematic risk estimates and firm size:Empirical evidence from a thin security market

Authors
Journal
Economics Letters
0165-1765
Publisher
Elsevier
Publication Date
Volume
36
Issue
3
Identifiers
DOI: 10.1016/0165-1765(91)90039-n
Disciplines
  • Economics

Abstract

Abstract Prior empirical evidence indicates that the size effect in stock returns is sensitive to the return interval used in estimating systematic risk. Recently, Handa, Kothari and Wasley (1989) showed that the size effect is decreased when return interval is lengthened on U.S. data. In this paper, we demonstrate that on a thin European security market, i.e. in the Finnish stock market, the case is just the opposite.

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