Estimating Systematic Risk – The Return Interval and Estimation Period Issues Evidence from Malaysia 2000-2006

• Main Authors: Ho, Catherine, Soke Fun, Chen, Yin Foo
• Format: Article
• Language: English
• Published: INTI International University 2009
• Subjects: H Social Sciences (General); HB Economic Theory
• Online Access: http://eprints.intimal.edu.my/1511/1/2009_p44.pdf; http://eprints.intimal.edu.my/1511/; https://intijournal.intimal.edu.my/intijournal.htm
• Institution: INTI International University

Estimating the beta coefficient is central to the CAPM concept of rewarding the investors according to the systematic risk of an asset. However, while the concept is intuitively appealing, the estimation is biased by measurement issues such as thin trading, regression tendency, stability and choice...