Thin Trading and the Estimation of Betas: The Efficacy of Alternative Techniques

Bartholdy, Jan; Riding, Allan

doi:10.1111/j.1475-6803.1994.tb00189.x

Cited by 54 publications

(28 citation statements)

References 8 publications

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“…A fuller description of these procedures may be found in the appendix. However, as found in other markets (Brown and Warner, 1985;Berry, Gallinger and Henderson, 1987;Berglund, Liljeblom and Löflund, 1989;Bartholdy and Riding, 1994;Boabang, 1996), these procedures do not alter this article's results in any significant way. Therefore, the paper reports market-model results only, but nonetheless comments on the few instances where the alternative procedures lead to different results.…”

Section: Methodssupporting

confidence: 69%

Takeover bids: evidence from the Portuguese market

Rodrigues

2003

Portuguese Economic Journal

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Throughout the nineties, a number of tender offers occurred in the Portuguese market. This article employs event study methodology to investigate their effects on the involved firms' shareholders. On average, these operations increased the market value of the involved firms by 2% to 3%. However, target shareholders appropriated most of this gain, earning 18% over their firms' previous value, whereas bidder shareholders seem to have gained nothing. These averages bent in bidders shareholders favour, however, when bidders held significant positions in the targets' capital before the bid.

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Section: Methodssupporting

confidence: 69%

Takeover bids: evidence from the Portuguese market

Rodrigues

2003

Portuguese Economic Journal

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“…2 Fowler, Rorke, and Jog (1989) went on to demonstrate that neither model eliminated the biasing of betas. Cowan and Sergeant (1996) then provided corroboration of Brown and Warner's findings, reinforced by Bartholdy and Riding (1994), who showed that the market model produced betas that were as consistent as those of Scholes and Williams and of Dimson, while superior in efficiency and smallness of bias.…”

Section: Review Of the Literaturementioning

confidence: 64%

A Revised Trade-to-Trade Model for All Levels of Trading Thinness in Event Studies

Anderson

2010

SSRN Journal

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This paper offers an improvement to the trade-to-trade model for event studies. While the trade-totrade model of Maynes and Rumsey (1993) addresses the problem of thin trading by eliminating periods in which no trading is recorded, the proposed improvement addresses the influence of zero-value returns resulting from liquidity trading. This entails segmentation by the sign of company returns (positive, negative, zero). The approach allows for all levels of thinness in security trading. It is evaluated against the trade-to-trade methodology developed by Maynes and Rumsey (1993) and the Market Model using Monte Carlo simulations developed from the method of Warner (1980 and1985). The improved trade-to-trade model is better at picking up the presence of very small levels of abnormal performance.JEL Classification: C32, G14.

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“…Evidence relating to the procedures for controlling for thin trading are not conclusive (Dimson & March, 1983;Berglund et al, 1989;Bartholdy & Riding, 1994;Louma et al, 1994). Bartholdy and Riding (1994) use a monthly return interval with an estimation period of five years in New Zealand and report no significant difference between the various control methods.…”

Section: Methodsmentioning

confidence: 99%

“…Bartholdy and Riding (1994) use a monthly return interval with an estimation period of five years in New Zealand and report no significant difference between the various control methods.…”

Section: Methodsmentioning

confidence: 99%

Beta Estimation and Thin Trading: Evidence from Bahrain Bourse

Al‐Ajmi¹

2015

IJEF

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This study is provides some guidelines indicating how to estimate beta (systematic risk) for companies listed on the Bahrain Bourse. Several estimation techniques were used to estimate beta. The methodology suggested by Fama and MacBeth (1973) for testing the CAPM based on cross-section analysis is used. Several problems are identified which require attention when estimating beta of companies listed on the Bahrain Stock Exchange. These are the intervals of rate return, the length of the estimation period, the best procedure to control for thin trading, the market index that should be used to estimate beta and the stability of beta estimates over time.The present study uses rates of return for different intervals (daily, weekly and monthly) for the period between January 2007 and December 2011 for 39 companies to test a number of hypotheses. The results of various tests show the following: 1) the estimated betas are insensitive to the length of period used; 2) the impact of return intervals on estimated betas is not significant ; 3) betas estimated using the All-Share Index and the MCSI are not significantly different from each other; 4) the estimated betas based on weekly data do not depend on the day of the week chosen to calculate the rate of returns; and 5) the impact of thin trading on beta depends on the method used to account for thin trading.

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Thin Trading and the Estimation of Betas: The Efficacy of Alternative Techniques

Cited by 54 publications

References 8 publications

Takeover bids: evidence from the Portuguese market

Takeover bids: evidence from the Portuguese market

A Revised Trade-to-Trade Model for All Levels of Trading Thinness in Event Studies

Beta Estimation and Thin Trading: Evidence from Bahrain Bourse

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