유동성과 베타추정 기간이 베타추정 편의에 미치는 영향 진단: 한국 시장에서의 증거

Non-synchronous trading may cause a serious bias in the beta estimation using daily closing prices. This study empirically examines whether non-synchronous trading due to illiquidity induces a bias on estimated betas. We estimate betas using i) the ordinary least squares method and ii) the Scholes and Williams method. Defining the beta spread as the bias, we run the Fama-MacBeth type of regression model to investigate the determinants of the bias. The main findings are as follows. First, when the effect of non-synchronous trading is not controlled for, the beta tends to be biased upward. Second, we find that the shorter estimation period we use for the estimation, the more the upward bias tends to be magnified. Third, illiquidity, measured by turnover rate, Amihud’s illiquidity, or the number of zero returns, is one of the factors that cause the beta estimation bias. Fourth, we find that the bias for stocks with large market capitalization is high. Our results suggest that particular care needs to be done when estimating market models with illiquid daily data.