Spectral analysis informs the proper frequency in the sampling of financial time series data

► We warn that applied econometricians tend to neglect the proper frequency from being considered while sampling the time series data. ► This means they disregard the Nyquist-Shannon theorem and are prone to aliasing problems. ► We exemplify the problem of aliasing using ultra-high-frequency data and daily prices of four selected stocks listed on the Sao Paulo stock exchange.