IDEAS home Printed from https://ideas.repec.org/a/bbz/fcpbbr/v10y2013i1p49-78.html
   My bibliography  Save this article

Estimation of betas of stocks with low liquidity

Author

Listed:
  • Ricardo Goulart Serra

    (Insper / IBMEC-SP and FIA)

  • Roy Martelanc

    (University of São Paulo)

Abstract

This paper examines the procedure to estimate betas for firms whose shares are not traded every day. Betas are estimated by three methods: repetition of the last quotation (RUC), tradeto-trade (TT) and Scholes-Williams’ adjustment (SW). There are three return intervals: daily, weekly and monthly. The objective is to verify the consistency of the betas estimated by the different calculation methods and the different return intervals. The results indicate that for shares not traded every day, the betas could be estimated with better precision by the TT method with daily intervals.

Suggested Citation

  • Ricardo Goulart Serra & Roy Martelanc, 2013. "Estimation of betas of stocks with low liquidity," Brazilian Business Review, Fucape Business School, vol. 10(1), pages 49-78, January.
    • Handle: RePEc:bbz:fcpbbr:v:10:y:2013:i:1:p:49-78
    as

    Download full text from publisher

    File URL: http://bbronline.com.br/index.php/bbr/article/download/233/351
    File Function: Full text
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Fowler, David J. & Rorke, C. Harvey, 1983. "Risk measurement when shares are subject to infrequent trading : Comment," Journal of Financial Economics, Elsevier, vol. 12(2), pages 279-283, August.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jeremy Leake, 2003. "Credit spreads on sterling corporate bonds and the term structure of UK interest rates," Bank of England working papers 202, Bank of England.
    2. Atkas, Nihat & Bodt, Eric de & Roll, Richard, 2001. "Market Response to European Regulation," University of California at Los Angeles, Anderson Graduate School of Management qt0qc9p8gf, Anderson Graduate School of Management, UCLA.
    3. Steven Heston & K. Rouwenhorst & Roberto Wessels, 2008. "The Role of Beta and Size in the Cross-Section of European Stock Returns," Yale School of Management Working Papers ysm86, Yale School of Management.
    4. Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005. "Comovement," Journal of Financial Economics, Elsevier, vol. 75(2), pages 283-317, February.
    5. Ryan Bartens & Shakill Hassan, 2010. "Value, size and momentum portfolios in real time: the cross section of South African stocks," Australian Journal of Management, Australian School of Business, vol. 35(2), pages 181-202, August.
    6. Michael D. Atchison, 1986. "Non-Representative Trading Frequencies And The Detection Of Abnormal Performance," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(4), pages 343-348, December.
    7. repec:dau:papers:123456789/1949 is not listed on IDEAS
    8. Piet Sercu & Martina Vandebroek & Tom Vinaimont, 2008. "Thin-Trading Effects in Beta: Bias "v." Estimation Error," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(9-10), pages 1196-1219.
    9. Michel Dubois & Cem Ertur, 1997. "The cost of equity and exchange listing evidence from the French stock market," Working Papers hal-01527157, HAL.
    10. G. Lypny & M. Powalla, 1998. "The hedging effectiveness of DAX futures," The European Journal of Finance, Taylor & Francis Journals, vol. 4(4), pages 345-355.
    11. Nai Chiek Aik & Taufiq Hassan & Shamsher Mohamad, 2015. "Do Malaysian Horizontal Mergers and Acquisitions Create Value?," Global Business Review, International Management Institute, vol. 16(5_suppl), pages 15-27, October.
    12. Liu, Fang & Sercu, Piet & Vandebroek, Martina, 2015. "Orthogonalized regressors and spurious precision, with an application to currency exposures," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 245-263.
    13. He, Feng & Feng, Yaqian & Hao, Jing, 2022. "Information disclosure source, investors’ searching and stock price crash risk," Economics Letters, Elsevier, vol. 210(C).
    14. Haushalter, G. David & Heron, Randall A. & Lie, Erik, 2002. "Price uncertainty and corporate value," Journal of Corporate Finance, Elsevier, vol. 8(3), pages 271-286, July.
    15. Robert Brooks & Robert Faff & Tim Fry & Emma Newton, 2004. "Censoring and its impact on multivariate testing of the Capital Asset Pricing Model," Applied Financial Economics, Taylor & Francis Journals, vol. 14(6), pages 413-420.
    16. Albert Corhay & Alireza Tourani Rad, 1993. "Return Interval, Firm Size And Systematic Risk On The Dutch Stock Market," Review of Financial Economics, John Wiley & Sons, vol. 2(2), pages 19-28, March.
    17. Hinz, Holger & Vollmer, Sebastian & Weimann, Carsten, 2012. "Company valuation in thin markets: how does CAPM perform?," Journal of Applied Leadership and Management, Hochschule Kempten - University of Applied Sciences, Professional School of Business & Technology, vol. 1, pages 39-52.
    18. Sophie Manigart & Peter Joos & Donaat De Vos, 1994. "The Performance of Publicly Traded European Venture Capital Companies," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 3(2), pages 111-125, Spring.
    19. Wu, Xi & Wang, Yudong & Tong, Xinle, 2021. "Cash holdings and oil price uncertainty exposures," Energy Economics, Elsevier, vol. 99(C).
    20. Heidle, Hans Gerhard, 1999. "Market Microstructure and Asset Pricing: A Survey," Discussion Papers 691, The Research Institute of the Finnish Economy.
    21. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bbz:fcpbbr:v:10:y:2013:i:1:p:49-78. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Lasso (email available below). General contact details of provider: https://edirc.repec.org/data/fucapbr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.