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| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Beta Estimation and Sampling Frequency |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 39 |
| Date | 2020 |
| Abstract Text | This study is focusing on the beta estimation in terms of its frequency, considering both daily and monthly returns of North American stock market companies in the early 1980ies for a five-year window. A literature review is included in order to understand various impactful market dynamics. It is suggested, that industry-internal as well as external influences have to be considered. The data of multiple IT as well as automobile organizations are retrieved from CRSP and confirm, that return frequencies have an impact on beta estimation and are influenced by multiple factors such as industries and economic crisis. This first chapter of the thesis includes the justification of the topic selection and its relevance. Furthermore, the main findings are presented. In addition, the objective as well as the structure throughout the thesis are part of this introduction. |
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