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Different beta estimation techniques in infrequently traded and inefficient stock markets

Author

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  • Luoma, M
  • Martikainen, T
  • Perttunen, J
  • Pynnönen, S

Abstract

This paper investigates the characteristics of different beta estimation techniques in infrequently traded and inefficient stock markets. These markets are artificially created from actual stock market data by removing return observations and by delaying the information transfer from market returns to individual stocks. Alternative beta estimation techniques are reported to behave differently in different types of markets.

Suggested Citation

  • Luoma, M & Martikainen, T & Perttunen, J & Pynnönen, S, 1994. "Different beta estimation techniques in infrequently traded and inefficient stock markets," Omega, Elsevier, vol. 22(5), pages 471-476, September.
    • Handle: RePEc:eee:jomega:v:22:y:1994:i:5:p:471-476
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    Cited by:

    1. Kallunki, Juha-Pekka, 1997. "Handling missing prices in a thinly traded stock market: implications for the specification of event study methods," European Journal of Operational Research, Elsevier, vol. 103(1), pages 186-197, November.

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