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In search of beta

Gregory, Alan, Hua, Shan and Tharyan, Rajesh (2018) In search of beta The British Accounting Review, 50 (4). pp. 425-441.

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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.

Item Type: Article
Divisions : Faculty of Arts and Social Sciences > Surrey Business School
Authors :
NameEmailORCID
Gregory, Alan
Hua, Shans.hua@surrey.ac.uk
Tharyan, Rajesh
Date : 23 December 2018
DOI : 10.1016/j.bar.2017.12.002
Grant Title : Economic and Social Research Council
Copyright Disclaimer : © 2018. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
Uncontrolled Keywords : CAPM; Regulatory finance; Beta
Depositing User : Clive Harris
Date Deposited : 06 Dec 2018 10:35
Last Modified : 11 Dec 2018 11:03
URI: http://epubs.surrey.ac.uk/id/eprint/849989

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