An Empirical Examination of the Required Number of Leading and Lagged Variables for ACM Beta Estimation

N. A. Sinclair
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N. A. Sinclair: Doctoral Candidate, Australian Graduate School of Management. The author acknowledges helpful suggestions from R. Ball and F. Finn.

Australian Journal of Management, 1981, vol. 6, issue 2, 119-126

Abstract: An attempt is made to establish empirically the required number of lagged and leading terms to include in Dimson's (1979) Aggregated Coefficients Method (ACM) of beta estimation. It is shown that the technique used by Dimson (1979) for the same purpose is sample specific in a number of important respects. A simple evaluation of the significance of the obtained coefficients consistently indicates that at least one, but possibly two, lagged terms are required for ACM beta estimation using monthly return data for a sample of Australian securities.

Keywords: BETA ESTIMATION; INFREQUENT TRADING (search for similar items in EconPapers)
Date: 1981
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:6:y:1981:i:2:p:119-126

DOI: 10.1177/031289628100600209

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