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Estimating betas in thinner markets: "the case of the Athens Stock Exchange"
16 references·0 citing·42 second hop
Estimating betas in thinner markets: "the case of the Athens Stock Exchange" (2008)Estimating betas in thinner markets: "the…Robust Measurement of Beta Risk (1992)Robust Measurement of Beta Ri…The relation between the return interval and betas (1989)The relation between the retu…An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model (1984)An Empirical Investigation of…Why Beta Shifts as the Return Interval Changes (1983)Why Beta Shifts as the Return…The Stability of UK Risk Measures and The Problem of Thin Trading (1983)The Stability of UK Risk Meas…Risk measurement when shares are subject to infrequent trading (1983)Risk measurement when shares …Friction in the trading process and the estimation of systematic risk (1983)Friction in the trading proce…Estimating and Adjusting for the Intervalling-Effect Bias in Beta (1983)Estimating and Adjusting for …A Possible Explanation of the Small Firm Effect (1981)A Possible Explanation of the…Implications of Microstructure Theory for Empirical Research on Stock Price Behavior (1980)Implications of Microstructur…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …The Capital Asset Pricing Model and the Investment Horizon (1977)The Capital Asset Pricing Mod…THE ADJUSTMENT OF BETA FORECASTS (1975)THE ADJUSTMENT OF BETA FORECA…The Market Model Applied to European Common Stocks: Some Empirical Results (1974)The Market Model Applied to E…ON THE ASSESSMENT OF RISK (1971)ON THE ASSESSMENT OF RISKThe Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Estimating betas from nonsynchronous data (1977)Problems and Solutions in Conducting Event Studies (1990)Conducting event studies with thinly traded stocks (1993)Corporate social responsibility and firm performance in the airline industry: The moderating role of oil prices (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)A data envelopment analysis approach to measure the mutual fund performance (2001)A closing call's impact on market quality at Euronext Paris (2003)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Using daily stock returns (1985)The Cross-Section of Expected Stock Returns (1992)R2 around the world: New theory and new tests☆ (2005)Price performance of common stock new issues (1975)Towards Reconciliation of Market Performance Measures to Strategic Management Research (1986)The distribution of earnings news over time and seasonalities in aggregate stock returns (1987)The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias (1992)BETAS AND THEIR REGRESSION TENDENCIES (1975)Time Series Analysis: Forecasting and Control (1977)Beta as a Random Coefficient (1978)Time‐Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques (1998)Conditional coskewness and asset pricing (2006)Option-Implied Measures of Equity Risk (2011)The relationship between return and market value of common stocks (1981)The earnings-price anomaly (1992)An empirical examination of the amortized spread1Prior versions of this paper were entitled, `Bid–ask spreads, holding periods, and realized transaction costs.' We are grateful for many helpful comments from Yakov Amihud, Jennifer Conrad, Larry Dann, Diane Del Guercio, Dave Denis, Diane Denis, Craig Dunbar, Ed Dyl, Roger Edelen, Rob Hansen, Mark Huson, Raman Kumar, Chris Lamoureux, John McConnell, Wayne Mikkelson, Megan Partch, Henri Servaes, Vijay Singal, Mike Weisbach, Marc Zenner, and an anonymous referee. In addition, we appreciate the comments from seminar participants at the 1997 American Finance Association meetings, the University of Arizona, Kansas State University, the University of North Carolina, the 1996 Pacific Northwest Finance Conference, Virginia Polytechnic Institute, and the University of Wisconsin. This work has been partially supported by a summer research grant from the Pamplin College of Business.1 (1998)Systematic risk and timescales (2003)Measuring security price performance (1980)Some Empirical Tests of the Theory of Arbitrage Pricing (1983)Transaction costs and the small firm effect (1983)Fundamental Indexation (2005)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Pricing of Options and Corporate Liabilities (1973)An Analysis of Brokers' and Analysts' Unpublished Forecasts of UK Stock Returns (1984)Stock market anomalies (1989)MACROECONOMIC FACTORS, THE APT AND THE UK STOCKMARKET (1994)The option pricing model and the risk factor of stock (1976)Foundations of Portfolio Theory (1991)
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References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1971ON THE ASSESSMENT OF RISK721 cited
  • 1981A Possible Explanation of the Small Firm Effect432 cited
  • 1983Friction in the trading process and the estimation of systematic risk345 cited
  • 1984An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model280 cited
  • 1977The Capital Asset Pricing Model and the Investment Horizon255 cited
  • 1983Risk measurement when shares are subject to infrequent trading240 cited
  • 1989The relation between the return interval and betas234 cited
  • 1983The Stability of UK Risk Measures and The Problem of Thin Trading192 cited
  • 1980Implications of Microstructure Theory for Empirical Research on Stock Price Behavior165 cited
  • 1983Estimating and Adjusting for the Intervalling-Effect Bias in Beta146 cited
  • 1975THE ADJUSTMENT OF BETA FORECASTS144 cited
  • 1992Robust Measurement of Beta Risk133 cited
  • 1974The Market Model Applied to European Common Stocks: Some Empirical Results100 cited

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Why Beta Shifts as the Return Interval Changes
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