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Company valuation in thin markets: how does CAPM perform?

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  • Hinz, Holger
  • Vollmer, Sebastian
  • Weimann, Carsten

Abstract

How does thin trading affect CAPM´s valuation of a company? What are alternatives in case standard CAPM does not work?

Suggested Citation

  • 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.
    • Handle: RePEc:zbw:hkjalm:156733
    as

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    References listed on IDEAS

    as
    1. Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December.
    2. 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.
    3. Blume, Marshall E. & Stambaugh, Robert F., 1983. "Biases in computed returns : An application to the size effect," Journal of Financial Economics, Elsevier, vol. 12(3), pages 387-404, November.
    4. Fowler, David J. & Rorke, C. Harvey, 1983. "Risk measurement when shares are subject to infrequent trading : Comment," Journal of Financial Economics, Elsevier, vol. 12(2), pages 279-283, August.
    5. Roll, Richard, 1977. "A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory," Journal of Financial Economics, Elsevier, vol. 4(2), pages 129-176, March.
    6. Jan Bartholdy & Allan Riding, 1994. "Thin Trading And The Estimation Of Betas: The Efficacy Of Alternative Techniques," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(2), pages 241-254, June.
    7. Dimson, E & Marsh, P R, 1983. "The Stability of UK Risk Measures and the Problem of Thin Trading," Journal of Finance, American Finance Association, vol. 38(3), pages 753-783, June.
    8. 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.
    9. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    10. Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
    11. Bartholdy, Jan & Riding, Allan, 1994. "Thin Trading and the Estimation of Betas: The Efficacy of Alternative Techniques," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(2), pages 241-254, Summer.
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