I tried some analysis on S&P vs Apple, Google, IBM as well as Caterpillar, Starbucks and Walmart to see how returns, volatilities and Beta's behave, using lead-times from 1-day up to 1200 banking-days (approx. 5 years).
A prelim hypotheses may be that the intervalling effect is due to a wrong skaling assumption rg. returns and volatilities.
Gerd
Pls ref to "Converting 1-Day Volatility to h-Day Volatility: Scaling by is Worse than You Think" Francis X. Diebold, 1996
For scaling effect you can go through the papers of
Avramov, D. and T. Chordia (2001), “Characteristic Scaled Betas,” SSRN Working Paper no. 276654.
Kogan, L., J. Gomes and L. Zhang (2003), “Equilibrium Cross-Section of Returns”,
Journal of Political Economy
111, 693-732.
The Avramov, D. and T. Chordia (2001) was very helpful!
Thank you very much! Krgs G.
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