Show simple item record

dc.contributor.author Ryu, Angela
dc.date.accessioned 2011-04-18T13:05:12Z
dc.date.available 2011-04-18T13:05:12Z
dc.date.issued 2011-04-18
dc.identifier.uri http://hdl.handle.net/10161/3542
dc.description Honors Thesis in Finance, Econ 201-202FS. en_US
dc.description.abstract Using high frequency stock price data in estimating nancial measures often causes serious distortion. It is due to the existence of the market microstructure noise, the lag of the observed price to the underlying value due to market friction. The adverse e ect of the noise can be avoided by choosing an appropriate sampling frequency. In this study, using mean square error as the measure of accuracy in beta estimation, the optimal pair of sampling frequency and the trailing window was empirically found to be as short as 1 minute and 1 week, respectively. This surprising result may be due to the low market noise resulting from its high liquidity and the econometric properties of the errors-in-variables model. Moreover, the realized beta obtained from the optimal pair outperformed the constant beta from the CAPM when overnight returns were excluded. The comparison further strengthens the argument that the underlying beta is time-varying. en_US
dc.language.iso en_US en_US
dc.subject Beta estimation en_US
dc.subject Realized beta en_US
dc.subject High Frequency data en_US
dc.subject Market microstructure noise en_US
dc.subject Beta trailing window en_US
dc.subject Optimal sampling interval en_US
dc.title Beta Estimation Using High Frequency Data en_US
dc.department Economics en_US

Files in this item

This item appears in the following Collection(s)

Show simple item record