Brooks, Robert D.; Faff, Robert W.; Fry, Tim; … - In: Latin American financial markets : developments in …, (pp. 329-344). 2005
In this paper we investigate the empirical performance of an alternative beta risk estimator, which is designed to be superior to its conventional counterparts in situations of extreme thin trading. The estimator used is based on the sample selectivity model. The study compares the resultant...