Alternative Beta Risk Estimators in Emerging Markets: The Latin American Case
AbstractIn this paper, a new alternative beta risk estimator method designed to offer better results when coping with the situation of extreme thin trading is presented for Latin American stocks. The method proposed is applied to a set of data in which the estimator is adjusted for censoring, that is, the presence of zero returns, induced by thin trading. The procedure used is the sample selectivity model, which includes a two-step method: a selectivity equation and a regression component applied to the non-censored data. Furthermore, the study compares the resultant selectivity corrected beta to the standard OLS beta and the Dimson Beta. We illustrate the empirical behaviour of the selectivity beta estimator using a sample of stocks in six countries that are part of the emerging markets in Latin America. The results indicate that the selectivity-corrected beta does correct the downward bias of the OLS estimates and possesses desirable statistical properti
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society 2004 Australasian Meetings with number 62.
Date of creation: 11 Aug 2004
Date of revision:
Contact details of provider:
Phone: 1 212 998 3820
Fax: 1 212 995 4487
Web page: http://www.econometricsociety.org/pastmeetings.asp
More information through EDIRC
censoring; sample selectivity model;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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, vol. 17(1), pages 75-93, February.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If references are entirely missing, you can add them using this form.