Alternative beta risk estimators in emerging markets: The Latin Amercian Case

Brooks, R, Faff, R and Fry, T 2004, 'Alternative beta risk estimators in emerging markets: The Latin Amercian Case' in H. Arbelaez and R. W. Click (ed.) Latin American Financial Markets: Developments in Financial Innovations, Elsevier, Amsterdam, pp. 329-344.


Document type: Book Chapter
Collection: Book Chapters

Title Alternative beta risk estimators in emerging markets: The Latin Amercian Case
Author(s) Brooks, R
Faff, R
Fry, T
Year 2004
Title of book Latin American Financial Markets: Developments in Financial Innovations
Publisher Elsevier
Place of publication Amsterdam
Editor(s) H. Arbelaez and R. W. Click
Start page 329
End page 344
Subjects Banking, Finance and Investment not elsewhere classified
Summary 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 selectivity-corrected beta to the OLS beta and Dimson Betas. We demonstrate the empirical behaviour of the selectivity corrected beta estimator using a sample of stocks in seven countries from Latin America. The results indicate that the selectivity-corrected beta does correct the downward bias of the OLS estimates and is likely to better estimate stock risk.
Copyright notice © 2004 Elsevier Ltd
DOI - identifier 10.1016/S1569-3767(05)05015-6
ISBN 0762311630
Versions
Version Filter Type
Altmetric details:
Access Statistics: 185 Abstract Views  -  Detailed Statistics
Created: Mon, 09 Jul 2012, 11:21:00 EST by Catalyst Administrator
© 2014 RMIT Research Repository • Powered by Fez SoftwareContact us