Thin-trading effects in beta: Bias v. estimation error

Journal of Business Finance and Accounting

Volumn 35, Issue 9-10, 2008, Pages 1196-1219

  Sercu, Piet ^a   Vandebroek, Martina ^a   Vinaimont, Tom ^b  

^a UNIVERSITY OF LEUVEN   (Belgium)

^b CITY UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Market model; Thin trading

Indexed keywords

EID: 56649120262     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/j.1468-5957.2008.02110.x     Document Type: Article

References (28)

1. Acharya, V. and L. H. Pedersen (2005 Asset Pricing with Liquidity Risk Journal of Financial Economics, Vol. 77, pp. 375 410.
2. Adler, M. and B. Dumas (1983 International Portfolio Choice and Corporation Finance: A Synthesis Journal of Finance, Vol. 38, pp. 925 84.
3. Apte, P., M. Kane and P. Sercu (1994 Evidence of PPP in the Medium Run Journal of International Money and Finance, Vol. 13, pp. 601 22.
4. Bauwens, L., S. Laurent and J. Rombouts (2006 Multivariate GARCH Models: A Survey Journal of Applied Econometrics, Vol. 21, No. 1, pp. 79 109.
5. Brown, S. and J. Warner (1980 Measuring Security Price Performance Journal of Financial Economics, Vol. 8, pp. 205 58.
6. Carhart, M. M. (1997 On Persistence in Mutual Fund Performance Journal of Finance, Vol. 52, pp. 57 82.
7. Dimson, E. (1979 Risk Measurement when Shares are Subject to Infrequent Trading Journal of Financial Economics, Vol. 7, pp. 197 226.
8. Fama, E. F. (1965 Tomorrow in the New York Stock Exchange Journal of Business Studies, Vol. 38, pp. 191 225.
9. Fama, E. F. and K. R. French (1992 The Cross-section of Expected Stock Returns Journal of Finance, Vol. 47, pp. 427 65.
10. Fama, E. F. and K. R. French (1993 Common Risk Factors in the Returns on Stocks and Bonds Journal of Financial Economics, Vol. 33, pp. 3 56.
11. Fama, E. F. and K. R. French (1995 Size and Book-to-market Factors in Earnings and Returns Journal of Finance, Vol. 50, pp. 131 55.
12. Fama, E. F. and K. R. French (1996 Multifactor Explanations of Asset Pricing Anomalies, Journal of Finance, Vol. 51, pp. 55 84.
13. Fama, E. F. and K. R. French (1996 The CAPM is Wanted, Dead or Alive Journal of Finance, Vol. 51, pp. 1947 58.
14. Fama, E. F. and K. R. French (1998 Value versus Growth: The International Evidence Journal of Finance, Vol. 53, pp. 1975 99.
15. Fama, E. F. and K. R. French (2000 Characteristics, Covariances, and Average Returns: 1929 to 1997, Journal of Finance, Vol. 55, pp. 389 406.
16. Fama, E. F., L. Fisher, M. Jensen and R. Roll (1969 The Adjustment of Stock Prices to New Information International Economic Review, Vol. 10, pp. 1 21.
17. Fowler, D. J. and H. C. Rorke (1983 Risk Measurement when Shares are Subject to Infrequent Trading: Comment Journal of Financial Economics, Vol. 12, pp. 297 83.
18. Green, W. A. (2000 Econometric Analysis 4th ed., Prentice Hall, N.J.).
19. Hansen, L. P. and R. J. Hodrick (1980 Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis Journal of Political Economy, Vol. 88, No, 5, pp. 829 53.
20. Jensen, M. (1969 Risk, the Pricing of Capital Assets, and the Evaluation of Investment Performance Journal of Business, Vol. 42, No. 2, pp. 167 247.
21. Johnson, L. L. (1960 The Theory of Hedging and Speculation in Commodity Futures Review of Economic Studies, Vol. 27, pp. 139 51.
22. Pastor, L. and R. F. Stambaugh (2003 Liquidity Risk and Expected Stock Returns Journal of Political Economy, Vol. 111, pp. 642 85.
23. Scholes, M. and J. Williams (1977 Estimating Betas from Non-synchronous Data Journal of Financial Economics, Vol. 5, pp. 308 28.
24. Sercu, P. (1980 A Generalization of the International Asset Pricing Model [Revue de l'Association Française de] Finance, Vol. 1, No. 1, pp. 91 135.
25. Sercu, P. and X. Wu (2000 Cross- and Delta-hedges: Regression- versus Price-based Hedge Ratios Journal of Banking and Finance, Vol. 24 (May No. 5 pp. 735 57.
26. Shanken, J. and G. Zhou (2007 Estimating and Testing Beta Pricing Models: Alternative Methods and Their Performance in Simulations Journal of Financial Economics, Vol. 84, No. 1 (April pp. 40 86.
27. Sterin, J. L. (1961 The Simultaneous Determination of Spot and Futures Prices American Economic Review, Vol. 51, pp. 1012 25.
28. Stoll, H. and R. Whaley (1990 The Dynamics of Stock Index and Stock Index Futures Returns Journal of Financial and Quantitative Analysis, Vol. 25, pp. 441 68.