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Estimating betas on daily data for a small stock market

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  • Berglund, Tom
  • Liljeblom, Eva
  • Loflund, Anders

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 13 (1989)
Issue (Month): 1 (March)
Pages: 41-64

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Handle: RePEc:eee:jbfina:v:13:y:1989:i:1:p:41-64

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Web page: http://www.elsevier.com/locate/jbf

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Cited by:
  1. G. Geoffrey Booth & Juha-Pekka Kallunki & Teppo Martikainen, 1998. "Delayed price response to the announcements of earnings and its components in Finland," European Accounting Review, Taylor & Francis Journals, Taylor & Francis Journals, vol. 6(3), pages 377-392.
  2. Hannu, Schadewitz, 1997. "Financial and nonfinancial information in interim reports: Determinants and implications," MPRA Paper 44292, University Library of Munich, Germany.
  3. Nawazish Mirza & Daniel Danny Simatupang, 2004. "Comparative Systematic Risk Analysis: Evidence on the Banking Sector in the United States, Western Europe and South East Asia," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, Department of Economics, The Lahore School of Economics, vol. 9(1), pages 149-173, Jan-June.
  4. Kallunki, Juha-Pekka, 1997. "Handling missing prices in a thinly traded stock market: implications for the specification of event study methods," European Journal of Operational Research, Elsevier, Elsevier, vol. 103(1), pages 186-197, November.
  5. Pasaribu, Rowland Bismark Fernando, 2009. "Koreksi Bias Koefisien Beta
    [Non-Synchronous Trading In Indonesia Stock Exchange]
    ," MPRA Paper 36981, University Library of Munich, Germany.
  6. Meyerson, Eva M., 1991. "Ownership Structure and Recruitment Procedures," Working Paper Series, Research Institute of Industrial Economics 314, Research Institute of Industrial Economics.
  7. Martikainen, Teppo & Perttunen, Jukka, 1991. "Return intervals, systematic risk estimates and firm size : Empirical evidence from a thin security market," Economics Letters, Elsevier, vol. 36(3), pages 311-315, July.
  8. Nawazish Mirza & Ghalia Shabbir, 2005. "The Death of CAPM: A Critical Review," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, Department of Economics, The Lahore School of Economics, vol. 10(2), pages 35-54, Jul-Dec.
  9. Iqbal, Javed & Brooks, Robert, 2007. "Alternative beta risk estimators and asset pricing tests in emerging markets: The case of Pakistan," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 17(1), pages 75-93, February.
  10. Meyerson, Eva M., 1991. "Recruitment Procedures and Team Composition," Working Paper Series, Research Institute of Industrial Economics 315, Research Institute of Industrial Economics.
  11. Meyerson, Eva M., 1991. "The Impact of Financial and Social Capital on Performance," Working Paper Series, Research Institute of Industrial Economics 317, Research Institute of Industrial Economics.
  12. Meyerson, Eva M., 1991. "Team Composition and External Network," Working Paper Series, Research Institute of Industrial Economics 316, Research Institute of Industrial Economics.
  13. Pasaribu, Rowland Bismark Fernando, 2009. "Koreksi Bias Koefisien Beta
    [Non-Synchronous Trading In Indonesia Stock Exchange]
    ," MPRA Paper 39874, University Library of Munich, Germany.
  14. Fei Jiang & Lawrence A. Leger, 2010. "The impact on performance of IPO allocation reform: An event study of Shanghai Stock Exchange A-shares," Journal of Financial Economic Policy, Emerald Group Publishing, Emerald Group Publishing, vol. 2(3), pages 251-272, August.
  15. Kie Wong & Ruth Tan & Wei Liu, 2006. "The Cross-Section of Stock Returns on The Shanghai Stock Exchange," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 26(1), pages 23-39, February.
  16. Meyerson, Eva M. & Lang, Harald, 1993. "Ownership Structure and Team Composition: An Application of Purposive Action on Manager's Risk Behavior," Working Paper Series, Research Institute of Industrial Economics 396, Research Institute of Industrial Economics.

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