A BIAS‐CORRECTING PROCEDURE FOR BETA ESTIMATION IN THE PRESENCE OF THIN TRADING

David J. Fowler, C. Harvey Rorke and Vijay M. Jog

Journal of Financial Research, 1989, vol. 12, issue 1, 23-32

Abstract: In this paper, an alternative technique is developed for obtaining consistent estimates of beta in the presence of thin trading. The new estimator is tested on simulated data and the results are compared with those obtained from the Dimson [4] Scholes and Williams [9] techniques. The new estimator is found to have approximately the same bias as the others, but it has a considerably lower variance.

Date: 1989
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