Article

The impact of reference-day risk on beta estimation and a proposed solution

Published in: Investment Analysts Journal
Volume 47 , issue 4 , 2018 , pages: 327–342

DOI: 10.1080/10293523.2018.1497126

Author(s): Keshav Sahadev Gordon Institute of Business Science, South Africa , Michael Ward Gordon Institute of Business Science, South Africa , Chris Muller Gordon Institute of Business Science, South Africa

Keywords: Beta , reference-day risk , VWAP

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Abstract

The ability to accurately estimate systematic risk (or beta) when reference-day risk is considered, is an ineluctable requirement for all applications of the capital asset pricing model (CAPM).

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