Le mexique tel qu'il est : La vérité sur son climat, ses habitantset son gouvernment

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Dizionario mitologico, ovvero Della favola, poetico, storico, in cuiefattamente fi fpiega l'origine degli dei, de' semidei, e degli eroi dell'antico gentilesimo, i misterj, i dogmi, il culto, i fagrifizj, i giuochi, le fefte, e tutto cia, che appartiene all religione de' gentili: utilissimo a' profeffori ...

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A strange elopement by W. Clark Russell; il. by W. H. Overend

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Il patriarca della nuova alleanza San Giuseppe : contemplato nei fatti e nei misteri della sua vita, nel mesa di marzo a lui consacrato

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Dal liberalismo al socialismo : errori religiosi e sociali che il secolo XIX ha tramandato al XX

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Il cimitero di S. Agnese sulla via Nomentana : descritto ed illustrado

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Le mexique: tel qu'il est aujourd'hui

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Le programme de la Cité du commerce électronique vaut-il l'argent du contribuable?

Rapport de recherche

Le choix d'un régime de taux de change possède-t-il un impact sur le niveau des échanges commerciaux?

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Qu'en est-il de l'équivalence ricardienne dans un modèle à taux de change empirique ?

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L’État haïtien a-t-il pris une bonne décision de laisser s’expatrier des travailleurs de 1961 à 2001?

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Le traitement semi-collectif des charges fertilisantes provenant de la production porcine, pour en faire un produit commercialisable, est-il une solution rentable ?

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Il divorzio e la legislazione italiana, stato odierno della questione

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Sampling Interval and estimated Betas : Implications for the Presence of Transitory Components in Stock Prices

We provide a theoretical framework to explain the empirical finding that the estimated betas are sensitive to the sampling interval even when using continuously compounded returns. We suppose that stock prices have both permanent and transitory components. The permanent component is a standard geometric Brownian motion while the transitory component is a stationary Ornstein-Uhlenbeck process. The discrete time representation of the beta depends on the sampling interval and two components labelled \"permanent and transitory betas\". We show that if no transitory component is present in stock prices, then no sampling interval effect occurs. However, the presence of a transitory component implies that the beta is an increasing (decreasing) function of the sampling interval for more (less) risky assets. In our framework, assets are labelled risky if their \"permanent beta\" is greater than their \"transitory beta\" and vice versa for less risky assets. Simulations show that our theoretical results provide good approximations for the means and standard deviations of estimated betas in small samples. Our results can be perceived as indirect evidence for the presence of a transitory component in stock prices, as proposed by Fama and French (1988) and Poterba and Summers (1988).