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An Empirical Examination of the Required Number of Leading and Lagged Variables for ACM Beta Estimation

Author

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  • N. A. Sinclair

    (Doctoral Candidate, Australian Graduate School of Management. The author acknowledges helpful suggestions from R. Ball and F. Finn.)

Abstract

An attempt is made to establish empirically the required number of lagged and leading terms to include in Dimson's (1979) Aggregated Coefficients Method (ACM) of beta estimation. It is shown that the technique used by Dimson (1979) for the same purpose is sample specific in a number of important respects. A simple evaluation of the significance of the obtained coefficients consistently indicates that at least one, but possibly two, lagged terms are required for ACM beta estimation using monthly return data for a sample of Australian securities.

Suggested Citation

  • N. A. Sinclair, 1981. "An Empirical Examination of the Required Number of Leading and Lagged Variables for ACM Beta Estimation," Australian Journal of Management, Australian School of Business, vol. 6(2), pages 119-126, December.
    • Handle: RePEc:sae:ausman:v:6:y:1981:i:2:p:119-126
    DOI: 10.1177/031289628100600209
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    Cited by:

    1. Keith K.W. Chan & Damien W. McColough & Michael T. Skully, 1993. "Australian Tax Changes and Dividend Reinvestment Announcement Effects: A Pre- and Post-Imputation Study," Australian Journal of Management, Australian School of Business, vol. 18(1), pages 41-62, June.
    2. Victor Fang & Chien-Ting Lin & Warren Poon, 2007. "An examination of Australian gold mining firms’ exposure over the collapse of gold price in the late 1990s," Accounting Research Journal, Emerald Group Publishing, vol. 15(2), pages 37-49, June.

    More about this item

    Keywords

    BETA ESTIMATION; INFREQUENT TRADING;

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