Asynchronous Trading Revisited : Bias in Beta and Implications for Empirical Asset Pricing

Trading is not continuous, leading to asynchronous trading times for different assets. This paper analyses the effect of asynchronous trading on an asset’s beta and evaluates its implication for the asset pricing literature. It shows that estimates are heavily downward-biased, with estimated betas that can be up to 50% too small for an early data period. It further shows that the explanatory power of the conditional CAPM can be enhanced in the sense that it can fully explain the liquidity premium. I argue that the asset pricing literature does not fully account for the bias induced by asynchronous trading

MoreLess

Year of publication:	[2022]
Authors:	Wiedemann, Timo
Publisher:	[S.l.] : SSRN
Subject:	CAPM \| Betafaktor \| Beta risk \| Systematischer Fehler \| Bias \| Schätzung \| Estimation \| Theorie \| Theory \| Börsenkurs \| Share price

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10013403576