The Impact of Thin Trading Adjustments on Australian Beta Estimates

We investigate the effect standard time series ß-adjustments have on the OLS-ß. We report that most changes are not statistically significant and the ß-adjustments appear to have no relationship to the extent of thin trading. Researchers using ß face the difficult choice of using an estimate known to be biased by thin trading, or making an adjustment that may not be statistically significant.

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Year of publication:	2005
Authors:	Davidson, Sinclair ; Josev, Thomas
Published in:	Accounting Research Journal. - Emerald Group Publishing. - Vol. 18.2005, September, 2, p. 111-117
Publisher:	Emerald Group Publishing
Subject:	Beta \| Thin trading

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008671873