Estimation of betas of stocks with low liquidity

Ricardo Goulart Serra and Roy Martelanc
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Ricardo Goulart Serra: Insper / IBMEC-SP and FIA
Roy Martelanc: University of São Paulo

Brazilian Business Review, 2013, vol. 10, issue 1, 49-78

Abstract: This paper examines the procedure to estimate betas for firms whose shares are not traded every day. Betas are estimated by three methods: repetition of the last quotation (RUC), tradeto-trade (TT) and Scholes-Williams’ adjustment (SW). There are three return intervals: daily, weekly and monthly. The objective is to verify the consistency of the betas estimated by the different calculation methods and the different return intervals. The results indicate that for shares not traded every day, the betas could be estimated with better precision by the TT method with daily intervals.

Keywords: Beta; illiquid stocks; repetition of the last quotation; trade-to-trade; Scholes and Williams; capital market. (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:bbz:fcpbbr:v:10:y:2013:i:1:p:49-78

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