재무연구 제 권 호 (2012년 8월)
Asian Review of Financial Research, Vol., No..
pp.410~450
pp.410~450
The Sensitivity of Beta to the Time Horizon when Log Prices follow an Ornstein-Uhlenbeck Process
K. J.Hong University of Cambridge and Korea Capital Market Institute
S.Satchell Trinity College, University of Cambridge
This paper provides a new theoretical approach to investigate the sensitivity of the familiar beta of the capital asset pricing model (CAPM) to the length of the return measurement interval; a phenomenon known as the Intervalling effect. By setting the problem in a continuous time setting, and using exact results, we are able to generalize existing results in the literature. We derive an expression for beta as a function of the time horizon h, conditional on current time t. We show that beta is monotonic in h and derive conditions for it to be increasing or decreasing.
K. J.Hong
S.Satchell
This paper provides a new theoretical approach to investigate the sensitivity of the familiar beta of the capital asset pricing model (CAPM) to the length of the return measurement interval; a phenomenon known as the Intervalling effect. By setting the problem in a continuous time setting, and using exact results, we are able to generalize existing results in the literature. We derive an expression for beta as a function of the time horizon h, conditional on current time t. We show that beta is monotonic in h and derive conditions for it to be increasing or decreasing.
Finance,Intervalling-Effect in Beta,Autocorrelation in Returns,Bivariate
