TY - JOUR
T1 - Alternative beta risk estimators in cases of extreme thin trading: Canadian evidence
AU - Brooks, Robert D.
AU - Faff, Robert W.
AU - Fry, Tim R.L.
AU - Bissoondoyal-Bheenick, E.
PY - 2005/12/1
Y1 - 2005/12/1
N2 - In this paper, an alternative method of estimating the systematic risk for Canadian stocks is presented and empirically investigated. The method proposed is applied to a set of data impacted by censoring - the presence of zero returns, which occurs in extreme cases of thin trading. The approach used is the sample selectivity model, which is a two-step procedure: with a selectivity component and a regression component. In addition, this study compares the new beta estimate to the standard OLS beta and the Dimson Beta. The results indicate that the selectivity-corrected beta does correct the downward bias of the OLS estimates and possesses desirable statistical properties.
AB - In this paper, an alternative method of estimating the systematic risk for Canadian stocks is presented and empirically investigated. The method proposed is applied to a set of data impacted by censoring - the presence of zero returns, which occurs in extreme cases of thin trading. The approach used is the sample selectivity model, which is a two-step procedure: with a selectivity component and a regression component. In addition, this study compares the new beta estimate to the standard OLS beta and the Dimson Beta. The results indicate that the selectivity-corrected beta does correct the downward bias of the OLS estimates and possesses desirable statistical properties.
UR - http://www.scopus.com/inward/record.url?scp=31144460845&partnerID=8YFLogxK
U2 - 10.1080/09603100500396585
DO - 10.1080/09603100500396585
M3 - Article
AN - SCOPUS:31144460845
SN - 0960-3107
VL - 15
SP - 1251
EP - 1258
JO - Applied Financial Economics
JF - Applied Financial Economics
IS - 18
ER -