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st: Beta Adjustment for Nonsynchronous Trading proposed by Scholes Williams and Dimson


From   "Alexander v. Angerer" <[email protected]>
To   [email protected]
Subject   st: Beta Adjustment for Nonsynchronous Trading proposed by Scholes Williams and Dimson
Date   Fri, 25 Mar 2011 11:38:50 +0100 (CET)

Dear research colleagues,

is anyone aware of Stata modules for the

a) adjustment of betas for non-synchronous trading as proposed by Scholes and Williams in Scholes, Myron S. and John Williams, 1977, "Estimating Betas from Nonsynchronous Data," Journal of Financial Economics 14, 327-348

b) adjustment of betas for infrequent trading as proposed by Dimson in Dimson, E., 1979, Risk measurement when shares are subject to infrequent trading, Journal of Financial Economics 6, 197-226

for panel data?

Hopefully the modules are useful for other researchers.

Best regards,

Alexander

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