Koreksi Bias Koefisien Beta

Pasaribu, Rowland Bismark Fernando (2009): Koreksi Bias Koefisien Beta. Published in: Jurnal Ekonomi dan Bisnis , Vol. 3, No. 3 (July 2009): pp. 81-89.

Abstract

This study aimed to clarify the value of the bias beta stocks listed on the Indonesia Stock Exchange and make corrections to the bias value using Scholes and Williams, Dimson, and Fowler and Rorke. Results of this study indicate that the stock beta is the value of bias, besides the results normality test also confirmed that the distribution of stock returns of issuers that are used to calculate beta coefficients are not normally distributed. Correction methods are not sufficient to return the normal distribution is the Scholes and Williams with a correction of two and three leads lag period, while for the normal distribution of data return that Fowler-Rorke method is a method that is sufficient in reducing the bias on the stock with a three lag and correction one leads beta period.

• Item Type: MPRA Paper
• English Title: Non-Synchronous Trading In Indonesia Stock Exchange
• Language: Indonesian
• Keywords: emerging markets, non-syncronous-trading, thin tradings, bias, trimming
• Subjects: G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill

References

Ariff, M and LW Johnson. 1990. Securities Markets and Stock Pricing: Evidence From a Developing Capital Market in Asia. Singapore: Longman Singapore Publishers Ltd.. E. Altman, B. Jacquillat and M. Levasseur. 1974. Comparative analysis of risk measures: France and the United States. Journal of Finance 29 (5), 1495-1511. Baesel, J. 1974. On the assessment of risk: Some further considerations. Journal of Finance, 29 (5), 1491-1494. Berglund, T., E. Liljeblom and A. Loflund. 1989. Estimating betas on daily data for a small stock market. Journal of Banking and Finance 13, 41-64. Blume, ME 1971. On the assessment of risk. Journal of Finance 26, 1-10. Blume, ME 1975. Tendencies and on their regression betas. Journal of Finance 30, 785-799. Chen, S. 1981. Beta nonstationarity, portfolio residual risk and diversification. Journal of Financial and Quantitative Analysis 16, 95-111. Cohen, KJ, GA Hawawini, SF Maier, RA Schwartz and DK Whitcomb. 1983. Estimating and adjusting for the intervalling-effect bias in beta. Management Science 29, 135-148. Cohen, KJ, GA Hawawini, SF Maier, RA Schwartz and DK Whitcomb. 1980. Implications of microstructure theory for empirical research on stock price behavior. Journal of Finance 2, 249-257. Dimson, E. 1979. Risk measurement Pls shares are subject to infrequent trading. Journal of Financial Economics 10, 197-226. Fielitz, B. 1974. Direct versus indirect diversification. Financial Management, 3, 54-62. Fisher, L. Some new stock market indexes. Journal of Business 39, 191-225. Fowler, DJ and CH Rorke. 1983. Risk measurement Pls shares are subject to infrequent trading: Comment. Journal of Financial Economics 12, 279-283. Fowler, DJ, CH Rorke and VM Jog. 1980. Thin trading and beta estimation techniques on the Toronto Stock Exchange. Journal of Business Administration 12, 77-90. Fowler, DJ, CH Rorke and VM Jog. 1981. A note on the beta stability and thin trading on the Toronto Stock Exchange. Journal of Business Finance and Accounting 8, 267-278. Fowler, DJ, CH Rorke and VM Jog. 1989. A bias-correcting procedure for beta-correction in the presence of thin trading. Journal of Financial Research 12, 23-32. Fung, WHK, RA Schwartz and DK Whitcomb. 1985. Intervalling adjusting the effect of bias in beta. Journal of Banking and Finance 9, 443-460. Jogiyanto. 1998a. Issues in Accounting Research Methodology Division of the Capital Market. Paper On day workshop will: Direction and Financial Accounting and Research Topics Capital Markets. July, 1-21. Jogiyanto. 1998b. Portfolio Theory and Investment Analysis. Yogyakarta: BPFE Jogiyanto, and Surianto. 2000. Bias in Beta Values and Its Correction. Gadjah Madda International Journal of Business, October, Bol.2, No.3, 337-349. Kolb, RW and R. Rodriguez. 1989. The regression tendencies of Betas: A reappraisal. The Financial Review, 24, 319-334. Levy, RA 1971. On the short term stationarity of beta coefficients. Financial Analysts Journal 27, 55-72. McInish, TH, and RA Wood. 1986. Adjusting for beta bias: An assessment of alternative techniques: A note. Journal of Finance 41, 277-286. Murray, L. 1995. An examination of beta estimation daily using Irish data. Journal of Business Finance and Accounting 22 (6), 893-906. Porter, RB and JR Ezzell. 1975. A note on the predictive ABILITY of beta coefficients. Journal of Business Research, 3, 365-372. Roenfeldt, R., GL and CC Pflamm Griepentrog. 1978. Further evidence on-the stationarity of beta co-efficients. Journal of Financial and Quantitative Analysis 13, 117-121. Scholes, M., and J. Williams. 1977. Estimating betas from non-synchronous data. Journal of Financial Economics 5, 309-327. Tole, TM 1981. How to maximise stationarity of beta. Journal of Portfolio Management, 7, 45-49. Vasicek, O. 1973. A note on using cross-sectional information in Bayesian estimation of security betas. Journal of Finance 28, 1233-1239.