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A different approach to estimating betas of securities subject to thin trading and serial correlation

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  • Peijie Wang
  • Trefor Jones

Abstract

This paper enquires whether the parameters of asset pricing models can be better represented by cointegration analysis to correct the bias in β estimates. Due to the existence of correlation in lagged series, cointegration analysis, or regression in levels, would produce better estimates of asset pricing model parameters than the regressional analysis of rates of return if the series are cointegrated. In addition, the estimation is empirically simpler.

Suggested Citation

  • Peijie Wang & Trefor Jones, 2005. "A different approach to estimating betas of securities subject to thin trading and serial correlation," Applied Financial Economics, Taylor & Francis Journals, vol. 15(16), pages 1145-1152.
    • Handle: RePEc:taf:apfiec:v:15:y:2005:i:16:p:1145-1152
    DOI: 10.1080/09603100500359773
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    References listed on IDEAS

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    2. Fotis, Panagiotis & Pekka, Victoria & Polemis, Michael, 2015. "Intervalling-effect bias and evidences for competition policy," MPRA Paper 63211, University Library of Munich, Germany.

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