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Return Interval and Estimation Period: On the Estimation of Betafor Listed Firms in the Stock Exchange of Thailand

NIDA Economic Review Journal

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Title Return Interval and Estimation Period: On the Estimation of Betafor Listed Firms in the Stock Exchange of Thailand
 
Creator Meesee, Budsarin
Sukcharoensin, Sorasart
 
Description The study of relationship between risk and return on investment is the most important thing for investment decision makings that face financial managers.This relationship is necessary for Portfolio management, Capital budgeting and Performance evaluate and comparison. One popular measure of the risk is the beta. The beta represents the market risk of a security, also called ‘systematic risk’ that cannot be eliminated through diversification. A time-series regression is often used to estimate the beta and requires the financial manager to select both a return interval and an estimation period. However, researchers do not know which interval and estimation period is appropriate. This study examines the return interval and estimation period the financial manager should select when estimating beta. The results show that the financial manager should select the daily return interval and an estimation period of two years to get the beta with smallest error or greatest precision of the beta estimate.
 
Publisher Development Economic Review (พัฒนาการเศรษฐกิจปริทรรศน์)
 
Date 2015-07-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://tci-thaijo.org/index.php/NER/article/view/40397
 
Source Development Economic Review (พัฒนาการเศรษฐกิจปริทรรศน์); Vol 9 No 2 (2558): Nida Economic Review Journal; 109
1906-2540
 
Language eng
 
Relation http://tci-thaijo.org/index.php/NER/article/view/40397/33335
 
Rights Copyright (c) 2017 Development Economic Review (พัฒนาการเศรษฐกิจปริทรรศน์)