search query: @indexterm stock exchanges / total: 536
reference: 330 / 536
| Author: | Fowler, D. J. Rorke, C. H. Jog, V. M. |
| Title: | A Bias-Correcting Procedure for Beta Estimation in the Presence of Thin Trading |
| Journal: | Journal of Financial Research
1989 : SPRING, VOL. 12:1, p.23-32 |
| Index terms: | STOCK MARKETS STOCK EXCHANGES |
| Language: | eng |
| Abstract: | The paper develops an alternative technique for obtaining consistent estimates of beta in the presence of thin trading. The new estimator is tested on simulated data and the results of the simulation are compared with those yielded by alternative techniques due to Dimson, Scholes and Williams, respectively. While the new estimator has approximately the same bias as its alternatives have, but it has a much smaller variance. |
SCIMA