Adjusting for Beta Bias: An Assessment of Alternate Techniques: A Note
Abstract
This paper tests the effectiveness of techniques proposed by: Scholes‐Williams; Dimson; Fowler, Rorke, and Jog; and Cohen, Hawawini, Maier, Schwartz, and Whitcomb to control for bias in beta estimates from thin trading and price adjustment delays. Each technique produces beta estimates that reduce the amount of this bias, but the amount of reduction in the best case is only 29%. 1986 The American Finance Association
Publication Title
The Journal of Finance
Recommended Citation
McINISH, T., & WOOD, R. (1986). Adjusting for Beta Bias: An Assessment of Alternate Techniques: A Note. The Journal of Finance, 41 (1), 277-286. https://doi.org/10.1111/j.1540-6261.1986.tb04507.x
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