Hostname: page-component-745bb68f8f-g4j75 Total loading time: 0 Render date: 2025-01-12T02:10:39.047Z Has data issue: false hasContentIssue false
  • English
  • Français

An Analytical Examination of the Intervaling Effect on Skewness and Other Moments

Published online by Cambridge University Press:  06 April 2009

Gabriel A. Hawawini
Get access Rights & Permissions [Opens in a new window]

Extract

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.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 15 , Issue 5 , December 1980 , pp. 1121 - 1127
Copyright
Copyright © School of Business Administration, University of Washington 1980

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Fogler, Russell H., and Radcliffe, R. C.. “A Note on Measurement of Skewness.” Journal of Financial and Quantitative Analysis (06 1974), pp. 485–489.CrossRefGoogle Scholar
[2]Francis, Jack C. “Skewness and Investors' Decisions.” Journal of Financial and Quantitative Analysis (03 1975), pp. 163–172.CrossRefGoogle Scholar
[3]Hawawini, Gabriel A. “On the Time – Behavior of Financial Parameters: An Investigation of the Intervaling Effect.” Unpublished Doctoral Dissertation, New York University (1977).Google Scholar
[4]Schwartz, Robert A., and Whitcomb, David K.. “Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals.” Journal of Financial and Quantitative Analysis (06 1977), pp. 291–313.CrossRefGoogle Scholar
[5]Schwartz, Robert A., and Whitcomb, David K. “The Time-Variance Relationship: Evidence on Autocorrelation in Common Stock Returns.” Journal of Finance (03 1977), pp. 41–55.Google Scholar
[6]Smith, Keith V. “The Effect of Intervaling on Estimating Parameters of the Capital Asset Pricing Model.” Journal of Financial and Quantitative Analysis (06 1978), pp. 313–332.CrossRefGoogle Scholar