Estimating betas in thinner markets: "the case of the Athens Stock Exchange"
Λαμπούσης, Αθανάσιος Ι.
SubjectΜετοχές -- Τιμές ; Stocks -- Prices ; Stock price forecasting ; Χρηματιστήριο Αξιών Αθηνών ; Stock exchanges ; Αγορά χρήματος ; Money market ; Διαχείριση κινδύνου ; Risk management
This paper examines the impact of the return interval on the beta estimate known as the "interval effect" which causes securities that are thinly traded to give biased OLS beta estimates. The present study covers a 5-year period, from January 2002 through to December 2006, using three different return intervals: daily, weekly and monthly data for 60 continuously listed thinly-traded stocks on the main market of the Athens Stock Exchange. Results generally support findings from earlier studies [(Diacogiannis, Makri - 2008) & (Brailsford, Josev - 1997)] that beta estimates rise as the return interval is lengthened, yet the effect is not observed for the period chosen given the statistically insignificant differences between all different pairs of return intervals for the mean estimate.