JFE

Cohen, K. J., et al. (1983). "Friction in the trading process and the estimation of systematic risk." Journal of Financial Economics 12(2): 263-278.
    This paper considers how estimates of the market model beta parameter can be biased by friction in the trading process (information, decision, and transaction costs) that (a) leads to a distinction between observed and ‘true’ returns; (b) causes observed returns to be generated asynchronously for a set of interdependent securities; and (c) thereby introduces serial cross-correlation into security returns. Several propositions are derived from which consistent estimators of beta are obtained, and the effect of differencing interval length on beta estimates is specified. The formulation is contrasted with the related analyses of Scholes-Williams (1977) and Dimson (1979).



【全文链接或数据库名称(选填)】


http://www.sciencedirect.com/science/article/pii/0304405X83900387

https://bbs.pinggu.org/thread-636483-1-1.html

i've download the article, if u still want it i can sent you

please upload it here

the message pop up and say"not be able to upload, because this file have already exist'. however i can not search it through the forum. so u can also try