Beta bias in low-priced stocks due to trading price rounding
Stocks and similar securities are normally traded in prices which are integral multiples of one-eiqhth of a dollar (a few are traded in one-sixteenths of a dollar). This price constraint may introduce a bias in the estimates of beta for low-priced securities, and the purpose of this dissertation is...
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| Format: | Others |
| Language: | en_US |
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Virginia Polytechnic Institute and State University
2017
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| Online Access: | http://hdl.handle.net/10919/74209 |