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The Impact of Thin Trading Adjustments on Australian Beta Estimates

The Impact of Thin Trading Adjustments on Australian Beta Estimates We investigate the effect standard time series ॆ‐adjustments have on the OLS‐ॆ. We report that most changes are not statistically significant and the ॆ‐adjustments appear to have no relationship to the extent of thin trading. Researchers using ॆ face the difficult choice of using an estimate known to be biased by thin trading, or making an adjustment that may not be statistically significant. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Accounting Research Journal Emerald Publishing

The Impact of Thin Trading Adjustments on Australian Beta Estimates

Sinclair Davidson; Thomas Josev
Accounting Research Journal , Volume 18 (2): 7 – Dec 1, 2005
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References (11)

Publisher
Emerald Publishing
Copyright
Copyright © 2005 Emerald Group Publishing Limited. All rights reserved.
ISSN
1030-9616
DOI
10.1108/10309610580000679
Publisher site
See Article on Publisher Site

Abstract

We investigate the effect standard time series ॆ‐adjustments have on the OLS‐ॆ. We report that most changes are not statistically significant and the ॆ‐adjustments appear to have no relationship to the extent of thin trading. Researchers using ॆ face the difficult choice of using an estimate known to be biased by thin trading, or making an adjustment that may not be statistically significant.

Journal

Accounting Research Journal – Emerald Publishing

Published: Dec 1, 2005

Keywords: Beta; Thin trading

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