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Adjusting for Beta Bias: An Assessment of Alternative Techniques: A Note

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  • McInish, Thomas H
  • Wood, Robert A

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  • McInish, Thomas H & Wood, Robert A, 1986. "Adjusting for Beta Bias: An Assessment of Alternative Techniques: A Note," Journal of Finance, American Finance Association, vol. 41(1), pages 277-286, March.
    • Handle: RePEc:bla:jfinan:v:41:y:1986:i:1:p:277-86
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    Cited by:

    1. Brailsford, Timothy J. & Josev, Thomas, 1997. "The impact of the return interval on the estimation of systematic risk," Pacific-Basin Finance Journal, Elsevier, vol. 5(3), pages 357-376, July.
    2. Kuttu, Saint, 2017. "Time-varying conditional discrete jumps in emerging African equity markets," Global Finance Journal, Elsevier, vol. 32(C), pages 35-54.
    3. Albert Corhay & Alireza Tourani Rad, 1993. "Return Interval, Firm Size And Systematic Risk On The Dutch Stock Market," Review of Financial Economics, John Wiley & Sons, vol. 2(2), pages 19-28, March.
    4. Hinz, Holger & Vollmer, Sebastian & Weimann, Carsten, 2012. "Company valuation in thin markets: how does CAPM perform?," Journal of Applied Leadership and Management, Hochschule Kempten - University of Applied Sciences, Professional School of Business & Technology, vol. 1, pages 39-52.
    5. Sie Ting Lau & Michael S. McCorry & Thomas H. McInish & Robert A. Van Ness, 1996. "Trading Of Nasdaq Stocks On The Chicago Stock Exchange," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(4), pages 579-584, December.
    6. Wagner, Niklas & Winter, Elisabeth, 2013. "A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 69-85.
    7. Robert A. Jarrow & Rinald Murataj & Martin T. Wells & Liao Zhu, 2023. "The Low-Volatility Anomaly And The Adaptive Multi-Factor Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 26(04n05), pages 1-33, August.
    8. Sinclair Davidson & Thomas Josev, 2005. "The Impact of Thin Trading Adjustments on Australian Beta Estimates," Accounting Research Journal, Emerald Group Publishing, vol. 18(2), pages 111-117, September.
    9. John C. Larson & Joel N. Morse, 1987. "Intervalling Effects In Hong Kong Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(4), pages 353-362, December.
    10. Pasaribu, Rowland Bismark Fernando, 2009. "Koreksi Bias Koefisien Beta [Non-Synchronous Trading In Indonesia Stock Exchange]," MPRA Paper 36981, University Library of Munich, Germany.
    11. Kuttu, Saint, 2014. "Return and volatility dynamics among four African equity markets: A multivariate VAR-EGARCH analysis," Global Finance Journal, Elsevier, vol. 25(1), pages 56-69.
    12. Pasaribu, Rowland Bismark Fernando, 2009. "Koreksi Bias Koefisien Beta [Non-Synchronous Trading In Indonesia Stock Exchange]," MPRA Paper 39874, University Library of Munich, Germany.
    13. Masih, Mansur & Alzahrani, Mohammed & Al-Titi, Omar, 2010. "Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 10-18, January.
    14. Kurt V. Auer, 1998. "Der Einfluß des Wechsels vom Rechnungslegungsstandard auf die Risikoparameter von schweizerischen Aktien," Schmalenbach Journal of Business Research, Springer, vol. 50(2), pages 129-155, February.
    15. RH Gilmer Jr. & Duane R. Stock, 1988. "Yield Volatility Of Discount Coupon Bonds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(3), pages 189-200, September.
    16. Liao Zhu, 2021. "The Adaptive Multi-Factor Model and the Financial Market," Papers 2107.14410, arXiv.org, revised Aug 2021.
    17. Beer, Francisca Marie, 1997. "Estimation of risk on the Brussels Stock Exchange: Methodological issues and empirical results," Global Finance Journal, Elsevier, vol. 8(1), pages 83-94.

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