Efekt przedziałowy parametru ryzyka systematycznego na GPW w Warszawie SA
Intervalling effect bias in beta: empirical results in the Warsaw Stock Exchange

Summary/Abstract: Correct estimation of systematic risk is central to the implementation of the CAPM and the market model for both researchers and practitioners. The impact of the return interval on the beta estimate is known as the intervalling effect bias. In this paper, we test the hypothesis that the systematic risk parameter is not stable in the Warsaw Stock Ex-change, i.e. the estimates of betas for stocks differ significantly when various return inter-vals are used. The period investigated is from Jan. 2007 to Dec. 2012.

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