Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7414530 | The British Accounting Review | 2018 | 17 Pages |
Abstract
Despite its limitations, the CAPM is a popular asset pricing model. However, the estimation of beta in the CAPM is affected by the choice of the returns frequency and firm characteristics. This study undertakes a detailed examination of the evidence for the UK and we find that the differences in beta computed from returns of various frequencies are related to size, liquidity, book-to-market and to some degree, opacity factors. One area where our conclusions might have important implications is in the regulatory use of the CAPM. Our results imply that low frequency beta estimates should, in most cases, be preferred to high frequency beta estimates.
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Accounting
Authors
Alan Gregory, Shan Hua, Rajesh Tharyan,