We investigate the effect standard time series β‐adjustments have on the OLS‐β. We report that most changes are not statistically significant and the β‐adjustments appear to have no relationship to the extent of thin trading. Researchers using β face the difficult choice of using an...

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...