Time Aggregation and the Estimation of the Market Model: Empirical Evidence
利用交易活跃和不活跃公司的数据，评估时间加总对贝塔估计、t值和R²的影响，并分析动态和随机系数模型，发现时间加总显著影响市场模型的设定和贝塔估计的稳定性。
Data for heavily and lightly traded firms are used to evaluate the effects of temporal aggregation on beta estimates, t values, and R 2 estimates. In addition to our analysis of the standard market model, dynamic and random coefficient models are estimated. This study evaluates differences in the short-term and long-term dynamic relationships between the market and each type of firm. It is found that temporal aggregation has important effects on both the specification of a market model and the stability of beta estimates.