Share:

Estimation of betas of stocks with low liquidity

Downloads

Download data is not yet available.

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), trade-to-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.

Keyword : Beta, illiquid stocks, repetition of the last quotation, trade-to-trade, Scholes and Williams, capital market

How to Cite
Serra, R. G., & Martelanc, R. (2013). Estimation of betas of stocks with low liquidity. Brazilian Business Review, 10(1), 49-78. https://doi.org/10.15728/bbr.2013.10.1.3
  Submitted
Jun 12, 2018
Published
Jan 1, 2013
Abstract Views
174
PDF English Downloads
112
PDF Português (Português (Brasil)) Downloads
85

Send mail to Author


Send Cancel