The paper examines and explains why estimates of systematic risk (beta coefficient) shift the time-interval used to measure returns changes

A review and interpretation of stock market anomalies in their effect on the pricing of equity.

The paper presents a measure of the intertemporal cross correlation between two time series and reports evidence of the presence of intertemporal cross dependence between the returns of NYSE stocks and those of the SP 500, showing that frequently traded stocks behave differently from stocks with...

This paper examines the implications of microstructure theory for empirical research on stock price behavior

This study uses the Market Model to assess the risk of securities in a thinner stock market, the Brussels Stock Exchange (Belgium) and compares the results to similar findings in French and U.S. stock exchanges.

Provides approximation formulas for calculating the yield-to-maturity of a bond.

In this comment to a paper by Levhari and Levy published in this journal on February 1977 we provide evidence that shows that their conclusion does not hold if one applies the model to a large sample of common stocks.