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Neues zum Intervalling-Effekt am deutschen Aktienmarkt
Credit and Capital Markets – Kredit und Kapital, Vol. 27 (1994), Iss. 3 : pp. 437–460
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Christian Schlag, Karlsruhe
References
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Cohen, K. J.;, Hawawini, G. A.; Maier, S. F.; Schwartz, R. A., und Whitcomb, D. K.: Friction in the Trading Process and the Estimation of Systematic Risk, Journal of Financial Economics 12.
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Abstract
New Aspects regarding the Intervalling Effect on the German Stock Market
This paper studies the intervalling effect on the German stock market. The term intervalling effect should be understood to mean a systematic relationship between the applied yield maturities and the estimated ß-coefficient within the framework of the market model. As Frantzmann (8) and Zimmermann (18) have shown, the “anomaly” that exists on the German market is significant. In this paper, the results of sub-samples formed in accordance with the criteria of liquidity and corporate size prove that, for the category of the most liquid and “best” of all shares, the intervalling effect is reflected by a decrease in the ß-factor with increasing maturities, whilst the opposite phenomenon is to be observed for most of the other categories. When the market model is applied to estimating the market risk of stock, this effect should therefore always be taken into account in the implementation of results in practice.