“…Lehvari and Levy [48] have demonstrated that empirical estimates of systematic risk are sensitive to the calendar time intervals over which returns are calculated. Carpenter and Upton [8] have suggested that the number of information arrivals m is a measure of "effective time" in the evolution of the price process, so estimates of beta will also be sensitive to m. This suggests a role for the use of volume in the adjustment of returns for risk, since volume is a proxy variable for the rate of information flow m. As was mentioned in Part I, another application of the MDH may be to indicate methods to adjust test statistics in event studies to take into account changes in the conditional variance of the price change process.…”