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Risk Measurement and Size Effect on the Dutch Stock Market

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Book cover Financial Modelling

Part of the book series: Contributions to Management Science ((MANAGEMENT SC.))

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Abstract

In this paper it is shown that there is an intervalling effect in the beta coefficients of the Dutch firms. The sign of the intervalling effect coefficient is generally negative, implying that most betas measured on short differencing intervals underestimate their asymptotic values. This further points out a significant relationship between the intervalling effect and the firm size.

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Author information

Authors and Affiliations

  1. University of Liège, Belgium

    A. Corha

  2. University of Limburg, The Netherlands

    A. Corha

  3. University of Limburg, The Netherlands

    A. Tourani Rad

Authors
  1. A. Corha
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  2. A. Tourani Rad
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Editor information

Editors and Affiliations

  1. Istituto di Metodi Quantitativi, Università Commerciale Luigi Bocconi, via U. Gobbi, 5, I-20136, Milano, Italy

    Lorenzo Peccati

  2. Department of Economics, University of Turku, SF-20500, Turku, Finland

    Matti Virén

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© 1994 Physica-Verlag Heidelberg

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Corha, A., Rad, A.T. (1994). Risk Measurement and Size Effect on the Dutch Stock Market. In: Peccati, L., Virén, M. (eds) Financial Modelling. Contributions to Management Science. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-86706-4_18

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  • DOI: https://doi.org/10.1007/978-3-642-86706-4_18

  • Publisher Name: Physica-Verlag HD

  • Print ISBN: 978-3-7908-0765-3

  • Online ISBN: 978-3-642-86706-4

  • eBook Packages: Springer Book Archive

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