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A BIAS‐CORRECTING PROCEDURE FOR BETA ESTIMATION IN THE PRESENCE OF THIN TRADING
Author(s) -
Fowler David J.,
Rorke C. Harvey,
Jog Vijay M.
Publication year - 1989
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1989.tb00098.x
Subject(s) - estimator , beta (programming language) , variance (accounting) , econometrics , estimation , statistics , mathematics , economics , computer science , accounting , programming language , management
In this paper, an alternative technique is developed for obtaining consistent estimates of beta in the presence of thin trading. The new estimator is tested on simulated data and the results are compared with those obtained from the Dimson [4] Scholes and Williams [9] techniques. The new estimator is found to have approximately the same bias as the others, but it has a considerably lower variance.