• Title of article

    Systematic risk over various frequency bands: An empirical analysis of returns on size-ranked portfolios

  • Author/Authors

    Lee، نويسنده , , Kiseok; Ni، نويسنده , , Shawn ، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 1995
  • Pages
    7
  • From page
    77
  • To page
    83
  • Abstract
    This paper finds negative risk premia for market betas obtained from some of the high frequency components of portfolio returns and value weighted market returns. The size effect is likely to be more pronounced for the high frequency components.
  • Keywords
    Risk premia: Size effect: Frequency decompmition
  • Journal title
    Economics Letters
  • Serial Year
    1995
  • Journal title
    Economics Letters
  • Record number

    433964

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=433964