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A Bias‐Correcting Procedure For Beta Estimation In The Presence Of Thin Trading

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  • David J. Fowler
  • C. Harvey Rorke
  • Vijay M. Jog

Abstract

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.

Suggested Citation

  • David J. Fowler & C. Harvey Rorke & Vijay M. Jog, 1989. "A Bias‐Correcting Procedure For Beta Estimation In The Presence Of Thin Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(1), pages 23-32, March.
    • Handle: RePEc:bla:jfnres:v:12:y:1989:i:1:p:23-32
    DOI: 10.1111/j.1475-6803.1989.tb00098.x
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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. 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.

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