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| Tekijä: | |
| Otsikko: | Different beta estimation techniques in infrequently traded and inefficient stock markets |
| Lehti: | Omega
1994 : SEP, VOL. 22:5, p. 471-476 |
| Asiasana: | STOCK MARKETS BETA FACTOR ESTIMATION |
| Kieli: | eng |
| Tiivistelmä: | 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. |
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