Dimson Beta Correction
Posted: Mon Jun 15, 2015 8:20 am
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
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