Risk measurement when shares are subject to infrequent trading

Dimson, Elroy

doi:10.1016/0304-405x(79)90013-8

Cited by 2,321 publications

(1,293 citation statements)

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“…I adjust for nonsynchronous trading by adding five leads and five lags of market returns (Dimson, 1979). Systematic risk is measured with the variance of the product of the firm beta times the market daily returns.…”

Section: Definition Of Variablesmentioning

confidence: 99%

Managerial risk-taking behavior and equity-based compensation☆

Low

2009

Journal of Financial Economics

610

176

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Section: Definition Of Variablesmentioning

confidence: 99%

Managerial risk-taking behavior and equity-based compensation☆

Low

2009

Journal of Financial Economics

610

176

View full text Add to dashboard Cite

“…We calculated the aggregate coefficient betas of Dimson (1979) to overcome the problem of infrequent trading that conventional betas exhibit. We estimated regressions of portfolio returns against lagging, contemporaneous and leading market returns.…”

Section: Monthlymentioning

confidence: 99%

Momentum profits in alternative stock market structures

Chelley‐Steeley

Siganos

2008

Journal of Multinational Financial Management

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AcknowledgementsWe would like to thank David Power, Weimin Liu, Jo Danbolt and an anonymous referee for the helpful comments we received. 1Momentum profits in alternative stock market structures AbstractThe aim of this study is to examine the relationship between momentum profitability and the stock market trading mechanism and is motivated by recent changes to the trading systems that have taken place on the London Stock Exchange. Since 1975 the London stock market has employed three different trading systems: a floor based system, a computerized dealer system called SEAQ and the automated auction system SETS. Since each new trading system has reduced the level of execution costs, one might expect, a-priori, the magnitude of momentum profits to decline with each amendment to the trading system. However, the opposite empirical result is found showing that shares trading on the automated system generate higher momentum profits than those trading on the floor system and companies trading on the SETS system display greater momentum profitability than those trading on SEAQ. Our empirical results concur with the theoretical findings of the trader's hesitation model of Du (2002) JEL classifications: G14; G15

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“…The exception is Prosodie SA, whose and parameters were estimated using only 30 Dimson (1979) approach and correct for regression to the mean. 12 Cumulative abnormal returns (CARs) and To test the null hypothesis that the CAARs are equal to zero for a sample of N securities, the following test statistic is calculated:…”

Section: Methodsmentioning

confidence: 99%

Shareholder Lock-in Contracts: Share Price and Trading Volume Effects at the Lock-in Expiry

2005

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This paper unveils the diversity in lock-in agreements of firms listed on the Nouveau Marché stock exchange in France. We give the main economic reasons why shareholders adopt lock-in agreements that are more stringent than legally required. We relate the abnormal returns and the abnormal volume at the expiry dates of the different types of lock-in contracts to the degree of underpricing, venture-capitalist reputation and underwriter reputation. Abnormal returns and trading volume increase at the lock-in expiry; this is especially pronounced at the expiry dates of insider lock-in contracts as insiders are legally required to be locked-in. We do not find significant abnormal returns at the expiries of VC contracts, even though trading volume increases at their lock-in expiry. There is also no evidence of a positive (negative) relation between abnormal returns (abnormal volume) and more stringent lock-in contracts. Lock-in contracts and the degree of underpricing are complementary signalling devices.JEL codes: G30, G34, G38

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Risk measurement when shares are subject to infrequent trading

Cited by 2,321 publications

References 57 publications

Managerial risk-taking behavior and equity-based compensation☆

Managerial risk-taking behavior and equity-based compensation☆

Momentum profits in alternative stock market structures

Shareholder Lock-in Contracts: Share Price and Trading Volume Effects at the Lock-in Expiry

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