Hey guys,
I have a sample of discret returns (return over 10 trading days) over a period of 3 years for x different firms (different timeframes, but the amount of returns is the same for each firm). My explanatory variable is an index. I performed a simple linear regression for the whole sample and want to correct my beta estimator, because the stocks are illiquid. How can i perform this corection?
Edit: Uploaded the file. Each of the returns in the column firm represents the return over those 10 days. The index returns match the timeframe of the firm returns
Dimson Beta Correction
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Dimson Beta Correction
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