Estimating betas in thinner markets:

Λαμπούσης, Αθανάσιος Ι.

dc.contributor.advisor	Διακογιάννης, Γεώργιος
dc.contributor.author	Λαμπούσης, Αθανάσιος Ι.
dc.date.accessioned	2015-09-02T16:35:21Z
dc.date.available	2015-09-02T16:35:21Z
dc.date.issued	2008
dc.identifier.uri	https://dione.lib.unipi.gr/xmlui/handle/unipi/7113
dc.format.extent	87	el
dc.language.iso	en	el
dc.publisher	Πανεπιστήμιο Πειραιώς	el
dc.rights	Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/	*
dc.subject	Μετοχές -- Τιμές	el
dc.subject	Stocks -- Prices	el
dc.subject	Stock price forecasting	el
dc.subject	Χρηματιστήριο Αξιών Αθηνών	el
dc.subject	Stock exchanges	el
dc.subject	Αγορά χρήματος	el
dc.subject	Money market	el
dc.subject	Διαχείριση κινδύνου	el
dc.subject	Risk management	el
dc.title	Estimating betas in thinner markets: "the case of the Athens Stock Exchange"	el
dc.type	Master Thesis	el
dc.contributor.department	Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής	el
dc.identifier.call	332.63 ΛΑΜ	el
dc.description.abstractEN	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.	el
dc.contributor.master	Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική Ανάλυση για Στελέχη	el

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Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής
Department of Banking & Financial Management

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Estimating betas in thinner markets: "the case of the Athens Stock Exchange"

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