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Koreksi Bias Koefisien Beta
[Non-Synchronous Trading In Indonesia Stock Exchange]

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  • Pasaribu, Rowland Bismark Fernando
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    Abstract

    This study aimed to clarify the value of the bias beta stocks listed on the Indonesia Stock Exchange and make corrections to the bias value using Scholes and Williams, Dimson, and Fowler and Rorke. Results of this study indicate that the stock beta is the value of bias, besides the results normality test also confirmed that the distribution of stock returns of issuers that are used to calculate beta coefficients are not normally distributed. Correction methods are not sufficient to return the normal distribution is the Scholes and Williams with a correction of two and three leads lag period, while for the normal distribution of data return that Fowler-Rorke method is a method that is sufficient in reducing the bias on the stock with a three lag and correction one leads beta period.

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    File URL: http://mpra.ub.uni-muenchen.de/39874/
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    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 39874.

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    Date of creation: Jul 2009
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    Publication status: Published in Jurnal Ekonomi dan Bisnis 3.3(2009): pp. 81-89
    Handle: RePEc:pra:mprapa:39874

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    Related research

    Keywords: emerging markets; non-syncronous-trading; thin tradings; bias; trimming;

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    References

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    1. Cohen, Kalman J, et al, 1980. " Implications of Microstructure Theory for Empirical Research on Stock Price Behavior," Journal of Finance, American Finance Association, vol. 35(2), pages 249-57, May.
    2. Kolb, Robert W & Rodriguez, Ricardo J, 1989. "The Regression Tendencies of Betas: A Reappraisal," The Financial Review, Eastern Finance Association, vol. 24(2), pages 319-34, May.
    3. Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
    4. Berglund, Tom & Liljeblom, Eva & Loflund, Anders, 1989. "Estimating betas on daily data for a small stock market," Journal of Banking & Finance, Elsevier, vol. 13(1), pages 41-64, March.
    5. Hawawini, Gabriel & Cohen, Kalman & Maier, Steven & Schwartz, Robert & Whitcomb, David, 1980. "Implications of microstructure theory for empirical research in stock price behavior," MPRA Paper 33976, University Library of Munich, Germany.
    6. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
    7. Porter, R. Burr & Ezzell, John R., 1975. "A note on the predictive ability of beta coefficients," Journal of Business Research, Elsevier, vol. 3(4), pages 365-372, October.
    8. Chen, Son-Nan, 1981. "Beta Nonstationarity, Portfolio Residual Risk and Diversification," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(01), pages 95-111, March.
    9. Baesel, Jerome B, 1974. "On the Assessment of Risk: Some Further Considerations," Journal of Finance, American Finance Association, vol. 29(5), pages 1491-94, December.
    10. McInish, Thomas H & Wood, Robert A, 1986. " Adjusting for Beta Bias: An Assessment of Alternative Techniques: A Note," Journal of Finance, American Finance Association, vol. 41(1), pages 277-86, March.
    11. Kalman J. Cohen & Gabriel A. Hawawini & Steven F. Maier & Robert A. Schwartz & David K. Whitcomb, 1983. "Estimating and Adjusting for the Intervalling-Effect Bias in Beta," Management Science, INFORMS, vol. 29(1), pages 135-148, January.
    12. Altman, Edward I & Jacquillat, Bertrand C & Levasseur, Michel, 1974. "Comparative Analysis of Risk Measures: France and the United States," Journal of Finance, American Finance Association, vol. 29(5), pages 1495-1511, December.
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