Matches in SemOpenAlex for { <https://semopenalex.org/work/W148725947> ?p ?o ?g. }
Showing items 1 to 77 of
77
with 100 items per page.
- W148725947 endingPage "31" @default.
- W148725947 startingPage "19" @default.
- W148725947 abstract "This study contributes to the literature on common stock Beta estimation in an environment of varying levels of infrequent trading, or market frictions. In this study a stock market environment with a range of Beta relationships and varying levels of trading infrequency is artificially created using Normal and Bernoulli-distributed Monte Carlo simulations. Four different modified Beta estimation techniques are compared to the OLS-Beta. The rate of deterioration of the various models is investigated with respect to systematic bias (bias of the mean) as well as a measurement bias (bias of the estimate's standard error). The Trade-to-Trade model performed best overall followed by the simple OLS-adjustment with respect to systematic bias; however, both models showed increasing levels of measurement bias from an early stage. Due to the data-intensive nature of the Trade-to-Trade model it does not serve as a one-size-fits-all solution. The strongest alternative is shown to be the adjusted OLS estimate. The choice of an appropriate thin-trading filter is a function of the choice of the Beta estimator which is in-turn determined by the researchers' tolerance for either systematic or measurement bias. The contribution of this study is that it provides guidance to the use of alternative methods to estimate risk coefficients." @default.
- W148725947 created "2016-06-24" @default.
- W148725947 creator A5022701469 @default.
- W148725947 creator A5025541070 @default.
- W148725947 creator A5057410924 @default.
- W148725947 date "2014-08-01" @default.
- W148725947 modified "2023-09-27" @default.
- W148725947 title "Thin-Trading and Beta Estimation: Results From a Simulated Environment" @default.
- W148725947 cites W1567560599 @default.
- W148725947 cites W1945231653 @default.
- W148725947 cites W1984272629 @default.
- W148725947 cites W1986266200 @default.
- W148725947 cites W2004426134 @default.
- W148725947 cites W2004706617 @default.
- W148725947 cites W2006812107 @default.
- W148725947 cites W2028021120 @default.
- W148725947 cites W2042618624 @default.
- W148725947 cites W2043619364 @default.
- W148725947 cites W2048717927 @default.
- W148725947 cites W2053030651 @default.
- W148725947 cites W2082668071 @default.
- W148725947 cites W2100392061 @default.
- W148725947 cites W2136970299 @default.
- W148725947 cites W2152821677 @default.
- W148725947 cites W2235602388 @default.
- W148725947 cites W2282385600 @default.
- W148725947 cites W2282927707 @default.
- W148725947 cites W2969802496 @default.
- W148725947 cites W3123102284 @default.
- W148725947 doi "https://doi.org/10.1080/10800379.2014.12097265" @default.
- W148725947 hasPublicationYear "2014" @default.
- W148725947 type Work @default.
- W148725947 sameAs 148725947 @default.
- W148725947 citedByCount "2" @default.
- W148725947 countsByYear W1487259472019 @default.
- W148725947 countsByYear W1487259472022 @default.
- W148725947 crossrefType "journal-article" @default.
- W148725947 hasAuthorship W148725947A5022701469 @default.
- W148725947 hasAuthorship W148725947A5025541070 @default.
- W148725947 hasAuthorship W148725947A5057410924 @default.
- W148725947 hasConcept C106159729 @default.
- W148725947 hasConcept C149782125 @default.
- W148725947 hasConcept C162324750 @default.
- W148725947 hasConcept C187736073 @default.
- W148725947 hasConcept C199360897 @default.
- W148725947 hasConcept C2776174256 @default.
- W148725947 hasConcept C41008148 @default.
- W148725947 hasConcept C96250715 @default.
- W148725947 hasConceptScore W148725947C106159729 @default.
- W148725947 hasConceptScore W148725947C149782125 @default.
- W148725947 hasConceptScore W148725947C162324750 @default.
- W148725947 hasConceptScore W148725947C187736073 @default.
- W148725947 hasConceptScore W148725947C199360897 @default.
- W148725947 hasConceptScore W148725947C2776174256 @default.
- W148725947 hasConceptScore W148725947C41008148 @default.
- W148725947 hasConceptScore W148725947C96250715 @default.
- W148725947 hasIssue "2" @default.
- W148725947 hasLocation W1487259471 @default.
- W148725947 hasOpenAccess W148725947 @default.
- W148725947 hasPrimaryLocation W1487259471 @default.
- W148725947 hasRelatedWork W1973538245 @default.
- W148725947 hasRelatedWork W2013444265 @default.
- W148725947 hasRelatedWork W2021644605 @default.
- W148725947 hasRelatedWork W2030617584 @default.
- W148725947 hasRelatedWork W2049919635 @default.
- W148725947 hasRelatedWork W2056210026 @default.
- W148725947 hasRelatedWork W2157864663 @default.
- W148725947 hasRelatedWork W2773456255 @default.
- W148725947 hasRelatedWork W331667891 @default.
- W148725947 hasRelatedWork W2142213187 @default.
- W148725947 hasVolume "38" @default.
- W148725947 isParatext "false" @default.
- W148725947 isRetracted "false" @default.
- W148725947 magId "148725947" @default.
- W148725947 workType "article" @default.