In this paper, we relate security returns in the thirty securities in the Dow Jones index to regime shifts in the market portfolio (S&P500) volatility. We model market volatility as a multiple-state Markov switching process of order one and estimate non-diversifiable security risk (beta) in the...

In this paper, a new alternative beta risk estimator method designed to offer better results when coping with the situation of extreme thin trading is presented for Latin American stocks. The method proposed is applied to a set of data in which the estimator is adjusted for censoring, that is,...