Question 1

Using the data from the UK stock market, analyze the extent of the intervallic effect in the estimation of stocks beta () parameters. You are required to answer the two questions listed below. Please follow the instructions in these questions:

a, Select 15 companies from the UK market and download their stock price data from Bloomberg. The sample period should include the last full 5 calendar years: from 2015 to 2019. Your selection should cover companies of different sizes, i.e. 5 large stocks, 5 medium-size stocks, and 5 small stocks. Discuss briefly the stocks which you have chosen and then use the CAPM model (in the market model version, i.e. without a deduction of the risk-free rate) to estimate in EViews their betas () for daily and monthly frequency data. Discuss the econometric issues, which are related to your estimations.

b, Summarize and discuss your findings of the extent of the intervallic effect in the estimation of the beta () parameter in case of all your 15 stocks and discuss any patterns that you found across your results from the point of view of the differences in daily and monthly beta () estimates and the size of the stock