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- W2034101765 abstract "Abstract This paper finds negative risk premia for market betas obtained from some of the high frequency components of portfolio returns and value weighted market returns. The size effect is likely to be more pronounced for the high frequency components." @default.
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- W2034101765 date "1995-07-01" @default.
- W2034101765 modified "2023-09-27" @default.
- W2034101765 title "Systematic risk over various frequency bands: An empirical analysis of returns on size-ranked portfolios" @default.
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- W2034101765 doi "https://doi.org/10.1016/0165-1765(94)00644-h" @default.
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