The impact of thin trading adjustments on Australian beta estimates

Davidson, S and Josev, T 2005, 'The impact of thin trading adjustments on Australian beta estimates', Accounting Research Journal, vol. 18, no. 2, pp. 111-117.


Document type: Journal Article
Collection: Journal Articles

Title The impact of thin trading adjustments on Australian beta estimates
Author(s) Davidson, S
Josev, T
Year 2005
Journal name Accounting Research Journal
Volume number 18
Issue number 2
Start page 111
End page 117
Total pages 7
Publisher Queensland University of Technology
Abstract 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.
Subject Financial Economics
Keyword(s) Beta
Thin Trading
DOI - identifier 10.1108/10309610580000679
ISSN 1030-9616
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