Beta Changes around Stock Splits Revisited
发现股票拆分后贝塔的上升会随测量间隔延长而消失，使用周或月数据时无显著变化，指出此前研究因测量间隔过短而产生偏差。
Recent papers by Lamoureux and Poon (1987) and Brennan and Copeland (1988) document a significant permanent increase in average beta subsequent to stock split ex-dates. This paper demonstrates that the shift in estimated beta following ex-dates decays as the measurement interval is lengthened. There is no statistically significant difference between pre- and post-split betas using the Scholes-Williams (1977) estimator and weekly return data, or using monthly returns. We conclude that Lamoureux and Poon's and Brennan and Copeland's results can be attributed to a bias created by using too short a return measurement interval to estimate beta.