Estimating systematic risk : the choice of return intervalin the Jordanian capital market

Abstract EN

The Capital Asset Pricing Model is considered to be a centerpiece in modern finance.

Due to the important uses of this model in both financial management and portfolio management, a large number of papers have examined many of its various issues.

The objective of this research paper is to examine the impact of the choice of the return interval on the precision of beta estimates in the Jordanian Capital Market.

Based on the estimated beta values (simple regression) and the statistical analyses, the results show that the use of monthly returns are better than two-monthly, three-monthly, four-monthly, and five-monthly returns in the estimation of beta because they result in the smallest standard errors in beta estimates.