Alternative beta risk estimators in emerging markets: the Latin American case

Robert D. Brooks, Robert W. Faff, Tim Fry, Diana Maldonado-Rey

Research output: Chapter in Book/Report/Conference proceedingChapterResearchpeer-review

1 Citation (Scopus)


In this paper we investigate the empirical performance of an alternative beta risk estimator, which is designed to be superior to its conventional counterparts in situations of extreme thin trading. The estimator used is based on the sample selectivity model. The study compares the resultant selectivity-corrected beta to the OLS beta and Dimson Betas. We demonstrate the empirical behaviour of the selectivity corrected beta estimator using a sample of stocks in seven countries from Latin America. The results indicate that the selectivity-corrected beta does correct the downward bias of the OLS estimates and is likely to better estimate stock risk.

Original languageEnglish
Title of host publicationLatin American Financial Markets: Developments in Financial Innovations
EditorsHarvey Arbelaez, Reid William Click
PublisherEmerald Group Publishing Limited
Number of pages16
ISBN (Electronic)978-1-84950-315-0
ISBN (Print)0762311630, 9780762311637
Publication statusPublished - Apr 2005
Externally publishedYes

Publication series

NameInternational Finance Review
ISSN (Print)1569-3767


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