{"id":"https://openalex.org/W2012849267","doi":"https://doi.org/10.1080/09603107.2011.581208","title":"Heteroscedasticity and interval effects in estimating beta: UK evidence","display_name":"Heteroscedasticity and interval effects in estimating beta: UK evidence","publication_year":2011,"publication_date":"2011-07-18","ids":{"openalex":"https://openalex.org/W2012849267","doi":"https://doi.org/10.1080/09603107.2011.581208","mag":"2012849267"},"language":"en","primary_location":{"id":"doi:10.1080/09603107.2011.581208","doi":"https://doi.org/10.1080/09603107.2011.581208","is_oa":false,"landing_page_url":"https://doi.org/10.1080/09603107.2011.581208","pdf_url":null,"source":{"id":"https://openalex.org/S35128040","display_name":"Applied Financial Economics","issn_l":"0960-3107","issn":["0960-3107","1466-4305"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1"],"host_organization":"https://openalex.org/P4310321043","host_organization_name":"Chapman and Hall London","host_organization_lineage":["https://openalex.org/P4310321043","https://openalex.org/P4310320584"],"host_organization_lineage_names":["Chapman and Hall London","CRC Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Financial Economics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.1100573","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5053099403","display_name":"Seth Armitage","orcid":"https://orcid.org/0000-0001-6174-065X","observed_orcids":["https://orcid.org/0000-0001-6174-065X"]},"institutions":[{"id":"https://openalex.org/I98677209","display_name":"University of Edinburgh","ror":"https://ror.org/01nrxwf90","country_code":"GB","type":"education","lineage":["https://openalex.org/I98677209"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Seth Armitage","raw_affiliation_strings":["a  University of Edinburgh Business School, University of Edinburgh , Edinburgh EH8 9JS,  UK","University of Edinburgh Business School, University of Edinburgh , Edinburgh EH8 9JS, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"a  University of Edinburgh Business School, University of Edinburgh , Edinburgh EH8 9JS,  UK","institution_ids":["https://openalex.org/I98677209"]},{"raw_affiliation_string":"University of Edinburgh Business School, University of Edinburgh , Edinburgh EH8 9JS, UK","institution_ids":["https://openalex.org/I98677209"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5010672413","display_name":"Janusz Brzeszczy\u0144ski","orcid":"https://orcid.org/0000-0003-0975-8814","observed_orcids":["https://orcid.org/0000-0003-0975-8814"]},"institutions":[{"id":"https://openalex.org/I32062511","display_name":"Heriot-Watt University","ror":"https://ror.org/04mghma93","country_code":"GB","type":"education","lineage":["https://openalex.org/I32062511"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Janusz Brzeszczynski","raw_affiliation_strings":["b   Department of Accountancy , Economics and Finance, Heriot-Watt University , Edinburgh EH14 4AS,  UK","Department of Accountancy, Economics and Finance, Heriot-Watt University, Edinburgh, EH14 4AS, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"b   Department of Accountancy , Economics and Finance, Heriot-Watt University , Edinburgh EH14 4AS,  UK","institution_ids":["https://openalex.org/I32062511"]},{"raw_affiliation_string":"Department of Accountancy, Economics and Finance, Heriot-Watt University, Edinburgh, EH14 4AS, UK","institution_ids":["https://openalex.org/I32062511"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5053099403"],"corresponding_institution_ids":["https://openalex.org/I98677209"],"apc_list":null,"apc_paid":null,"fwci":2.9641,"has_fulltext":false,"cited_by_count":20,"citation_normalized_percentile":{"value":0.92439148,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"21","issue":"20","first_page":"1525","last_page":"1538"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.5400000214576721,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.5400000214576721,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.4562999904155731,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":0.0008999999845400453,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/beta-estimation","display_name":"beta estimation","score":0.8949999809265137},{"id":"https://openalex.org/keywords/heteroscedasticity","display_name":"heteroscedasticity","score":0.9649999737739563},{"id":"https://openalex.org/keywords/arch-models","display_name":"ARCH models","score":0.8999999761581421},{"id":"https://openalex.org/keywords/ordinary-least-squares","display_name":"ordinary least squares","score":0.6840000152587891},{"id":"https://openalex.org/keywords/daily-returns","display_name":"daily returns","score":0.7149999737739563},{"id":"https://openalex.org/keywords/measurement-interval","display_name":"measurement interval","score":0.6990000009536743},{"id":"https://openalex.org/keywords/thin-trading","display_name":"thin trading","score":0.503000020980835},{"id":"https://openalex.org/keywords/idiosyncratic-volatility","display_name":"idiosyncratic volatility","score":0.8730000257492065}],"concepts":[{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.8803005218505859},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.74862140417099},{"id":"https://openalex.org/C99656134","wikidata":"https://www.wikidata.org/wiki/Q2912993","display_name":"Ordinary least squares","level":2,"score":0.7373205423355103},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6261284351348877},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5778606534004211},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.5332721471786499},{"id":"https://openalex.org/C2776174256","wikidata":"https://www.wikidata.org/wiki/Q830842","display_name":"BETA (programming language)","level":2,"score":0.5240681171417236},{"id":"https://openalex.org/C11312509","wikidata":"https://www.wikidata.org/wiki/Q12277","display_name":"Arch","level":2,"score":0.4650273323059082},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.458446741104126},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3426654040813446},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.06669232249259949},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1080/09603107.2011.581208","doi":"https://doi.org/10.1080/09603107.2011.581208","is_oa":false,"landing_page_url":"https://doi.org/10.1080/09603107.2011.581208","pdf_url":null,"source":{"id":"https://openalex.org/S35128040","display_name":"Applied Financial Economics","issn_l":"0960-3107","issn":["0960-3107","1466-4305"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1"],"host_organization":"https://openalex.org/P4310321043","host_organization_name":"Chapman and Hall London","host_organization_lineage":["https://openalex.org/P4310321043","https://openalex.org/P4310320584"],"host_organization_lineage_names":["Chapman and Hall London","CRC Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Financial Economics","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.1100573","doi":"https://doi.org/10.2139/ssrn.1100573","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1100573","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:RePEc:taf:apfiec:v:21:y:2011:i:20:p:1525-1538","doi":null,"is_oa":false,"landing_page_url":"http://www.tandfonline.com/doi/abs/10.1080/09603107.2011.581208","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:pure.ed.ac.uk:publications/a84fd5ef-1ea0-4eb8-932d-5c04aa1344b2","doi":null,"is_oa":true,"landing_page_url":"https://www.research.ed.ac.uk/portal/en/publications/heteroscedasticity-and-interval-effects-in-estimating-beta(a84fd5ef-1ea0-4eb8-932d-5c04aa1344b2).html","pdf_url":null,"source":{"id":"https://openalex.org/S4306400321","display_name":"Edinburgh Research Explorer (University of Edinburgh)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I98677209","host_organization_name":"University of Edinburgh","host_organization_lineage":["https://openalex.org/I98677209"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Armitage, S & Brzeszczynski, J 2011, 'Heteroscedasticity and interval effects in estimating beta : UK evidence', Applied Financial Economics, vol. 21, no. 20, pp. 1525-1538. https://doi.org/10.1080/09603107.2011.581208","raw_type":"info:eu-repo/semantics/publishedVersion"},{"id":"pmh:oai:repository@napier.ac.uk:4228244","doi":null,"is_oa":false,"landing_page_url":"https://doi.org/10.1080/09603107.2011.581208","pdf_url":null,"source":{"id":"https://openalex.org/S4306402591","display_name":"Edinburgh Napier Research Repository (Edinburgh Napier University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I251738","host_organization_name":"Edinburgh Napier University","host_organization_lineage":["https://openalex.org/I251738"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Journal Article"}],"best_oa_location":{"id":"doi:10.2139/ssrn.1100573","doi":"https://doi.org/10.2139/ssrn.1100573","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1100573","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":30,"referenced_works":["https://openalex.org/W6735799","https://openalex.org/W598919508","https://openalex.org/W1760783395","https://openalex.org/W1964653071","https://openalex.org/W1979575715","https://openalex.org/W1981454469","https://openalex.org/W1982596328","https://openalex.org/W1984272629","https://openalex.org/W1984469138","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2013109882","https://openalex.org/W2021196891","https://openalex.org/W2025986600","https://openalex.org/W2041343558","https://openalex.org/W2043619364","https://openalex.org/W2044117118","https://openalex.org/W2054358568","https://openalex.org/W2061160212","https://openalex.org/W2065311909","https://openalex.org/W2068016300","https://openalex.org/W2068227034","https://openalex.org/W2108818539","https://openalex.org/W2117178635","https://openalex.org/W2150783522","https://openalex.org/W2252477737","https://openalex.org/W2891337468","https://openalex.org/W3023906401","https://openalex.org/W3122216969","https://openalex.org/W3123142049"],"related_works":["https://openalex.org/W2253450191","https://openalex.org/W302830123","https://openalex.org/W4411597879","https://openalex.org/W2613775083","https://openalex.org/W2503814019","https://openalex.org/W2171281234","https://openalex.org/W2026196717","https://openalex.org/W3048021480","https://openalex.org/W7152763306","https://openalex.org/W2042618624"],"abstract_inverted_index":{"The":[0,25],"paper":[1],"compares":[2],"beta":[3,52],"estimates":[4,10],"obtained":[5],"from":[6,78],"OLS":[7,47],"regression":[8],"with":[9,55,85,90],"corrected":[11],"for":[12,21,32,66,115],"heteroscedasticity":[13],"of":[14,93,111],"the":[15,51,70,73,91,94,101],"error":[16],"term":[17],"using":[18,35],"ARCH":[19,56],"models,":[20,57],"145":[22],"UK":[23],"shares.":[24,68],"differences":[26,42],"are":[27],"mainly":[28],"less":[29],"than":[30],"0.10,":[31],"betas":[33,77],"calculated":[34],"daily":[36,79,96,105,117],"returns,":[37,106],"but":[38,88],"even":[39],"such":[40],"small":[41],"can":[43],"matter":[44],"in":[45,76,104],"practice.":[46],"tends":[48],"to":[49],"overestimate":[50],"coefficients":[53],"compared":[54],"and":[58],"selecting":[59],"an":[60],"ARCH-type":[61],"estimate":[62],"makes":[63],"most":[64],"difference":[65],"large-cap":[67],"Regarding":[69],"measurement":[71],"interval,":[72],"downward":[74],"bias":[75],"returns":[80],"is":[81,113],"associated":[82],"not":[83],"only":[84],"thin":[86],"trading":[87],"also":[89],"volatility":[92],"share\u2019s":[95],"returns.":[97],"We":[98],"infer":[99],"that":[100],"idiosyncratic":[102],"component":[103],"as":[107,109],"well":[108],"lack":[110],"trading,":[112],"responsible":[114],"low":[116],"betas.":[118]},"counts_by_year":[{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":4},{"year":2017,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}
