Different beta estimation techniques in infrequently traded and inefficient stock markets

M Luoma, T Martikainen, J Perttunen and S Pynnönen

Omega, 1994, vol. 22, issue 5, 471-476

Abstract: This paper investigates the characteristics of different beta estimation techniques in infrequently traded and inefficient stock markets. These markets are artificially created from actual stock market data by removing return observations and by delaying the information transfer from market returns to individual stocks. Alternative beta estimation techniques are reported to behave differently in different types of markets.

Keywords: estimation; beta; estimation; inefficient; stock; markets; infrequently; traded; stock; markets (search for similar items in EconPapers)
Date: 1994
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0305-0483(94)90028-0
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jomega:v:22:y:1994:i:5:p:471-476

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Omega is currently edited by B. Lev

More articles in Omega from Elsevier
Bibliographic data for series maintained by Catherine Liu ().