Gabriel A. Hawawini, Intertemporal Cross-Dependence in Securities Daily Returns and the Short-Run Intervaling Effect on Systematic Risk, The Journal of Financial and Quantitative Analysis, Vol. 15, No. 1 (Mar., 1980), pp. 139-149

The purpose of this paper is to demonstrate mathematically that the skewness of securities' returns--the ratio of the third moment to the standard deviation cubed--is sensitive to the length of the differencing interval over which returns are measured. Empirical observations of this so-called intervaling effect on skewness have been reported in at least three articles in this Journal. There have been no attempts, however, to examine this effect analytically. The empirical evidence presented in the literature is often contradictory and remains unexplained because of a lack of an analytical insight into the causes of the intervaling effect.

Gabriel A. Hawawini, Ashok Vora, Evidence of Intertemporal Systematic Risks in the Daily Price Movements of NYSE and AMEX Common Stocks, The Journal of Financial and Quantitative Analysis, Vol. 15, No. 2 (Jun., 1980), pp. 331-339

In this comment to a paper by Levhari and Levy published in this journal on February 1977 we provide evidence that shows that their conclusion does not hold if one applies the model to a large sample of common stocks.

ABSTRACT This paper traces the historical developments of the efforts to find simple and accurate methods of approximating an annuity's implicit yield and a bond's yield to maturity. It is shown that the little known history of yield approximations is nevertheless very rich, with contributions dating as far back as the late seventeenth century. It is also shown that the standard textbook approximation formula for the bond's yield to maturity is the least accurate of a large family of formulas, some of which were suggested as early as 1855.

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).