Estimating betas in thinner markets: "the case of the Athens Stock Exchange"

Abstract

This paper examines the impact of the return interval on the beta\nestimate known as the “interval effect” which causes securities that are\nthinly traded to give biased OLS beta estimates. The present study covers\na 5-year period, from January 2002 through to December 2006, using\nthree different return intervals: daily, weekly and monthly data for 60\ncontinuously listed thinly-traded stocks on the main market of the Athens\nStock Exchange. Results generally support findings from earlier studies\n[(Diacogiannis, Makri - 2008) & (Brailsford, Josev - 1997)] that beta\nestimates rise as the return interval is lengthened, yet the effect is not\nobserved for the period chosen given the statistically insignificant\ndifferences between all different pairs of return intervals for the mean\nestimate.

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