Effet d'intervalle et estimation du risque systématique à la bourse de Bruxelles

Albert Corhay

Journal de la société française de statistique (1990)

  • Volume: 131, Issue: 3-4, page 69-85
  • ISSN: 1962-5197

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Corhay, Albert. "Effet d'intervalle et estimation du risque systématique à la bourse de Bruxelles." Journal de la société française de statistique 131.3-4 (1990): 69-85. <http://eudml.org/doc/199596>.

@article{Corhay1990,
author = {Corhay, Albert},
journal = {Journal de la société française de statistique},
language = {fre},
number = {3-4},
pages = {69-85},
publisher = {Société de statistique de Paris},
title = {Effet d'intervalle et estimation du risque systématique à la bourse de Bruxelles},
url = {http://eudml.org/doc/199596},
volume = {131},
year = {1990},
}

TY - JOUR
AU - Corhay, Albert
TI - Effet d'intervalle et estimation du risque systématique à la bourse de Bruxelles
JO - Journal de la société française de statistique
PY - 1990
PB - Société de statistique de Paris
VL - 131
IS - 3-4
SP - 69
EP - 85
LA - fre
UR - http://eudml.org/doc/199596
ER -

References

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  1. COHEN K.J., HAWAWINI G.A., MAIER S.F., SCHWARTZ R.A. et WHITCOMB D.K. (1980) « Implications of Microstructure Theory for Empirical Research on Stock Price Behavior». The Journal of Finance, 35, 249-257. 
  2. COHEN K.J., HAWAWINI G.A., MAIER S.F., SCHWARTZ R.A. et WHITCOMB D.K. (1983) « Estimating and Adjusting for the Intervalling Effect Bias in Beta», Management Science, 29, 135-148. 
  3. COHEN K.J., HAWAWINI G.A., MAIER S.F., SCHWARTZ R.A. et WHITCOMB D.K. (1983) « Friction in the Trading Process and the Estimation of Systematic Risk», Journal of Financial Economics, 12, 263-278. 
  4. COHEN K.J., HAWAWINI G.A., MAIER S.F., SCHWARTZ R.A. et WHITCOMB D.K. (1986) The Microstructure of Securities Markets, Prentice-Hall, New Jersey. 
  5. CORHAY A. (1989) « Essays in Financial Economics : Return Seasonalities and Systematic Risk Estimation on the Brussels Stock Exchange», dissertation doctorale, Université de Cambridge, Angleterre. 
  6. DIMSON E. (1979) « Risk Measurement when Shares are Subject to Infrequent Trading», Journal of Financial Economics, 7, 197-226. 
  7. DIMSON E. (1988) Stock Market Anomalies, Cambridge University Press, Cambridge. 
  8. FOWLER D.J. et RORKE C.H. (1983) « Risk Measurement when Shares are Subject to Infrequent Trading : Comment», Journal of Financial Economics, 12, 279-283. 
  9. FUNG W.K.H., SCHWARTZ R.A. et WHITCOMB D.K. (1985) « Adjusting for the Intervalling Effect Bias in Beta : A test Using Paris Bourse Data», Journal of Banking and Finance, 9, 443-460. 
  10. HAWAWINI G.A. (1980) « Intertemporal Cross-Dependence in Securities Daily Returns and the Short-Run Intervalling Effect on Systematic Risk», Journal of Financial and Quantitative Analysis, 15, 139-149. 
  11. LACHENBRUCH P.A. (1967) « An Almost Unbiased Method of Obtaining Confidence Intervals for the Probability of Misclassification in Discriminant Analysis», Biometrika, 23, 639-645. MR220399
  12. MCINISH T.H. et WOOD R.A. (1986) « Adjusting for Beta Bias : An Assessment of Alternate Techniques : A Note», The Journal of Finance, 41, 277-286. 
  13. PINDYCK R.S. et RUBINFELD D.L. (1986) Econometric Models and Economic Forecasts, McGraw-Hill, New York. 
  14. POGUE G.A. et SOLNIK B.H. (1974) « The Market Model Applied to European Common Stocks : Some Empirical Results », Journal of Financial and Quantitative Analysis, 9, 917-944. 
  15. SCHOLES M. et WILLIAMS J.(1977) « Estimating bêtas from Nonsynchronous Data», Journal of Financial Economics, 5, 309-327. 
  16. STONHAM P. (1982) Major Stock Market of Europe, Gower Publishing Company. 

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