In this paper, a new alternative beta risk estimator method designed to offer better results when coping with the situation of extreme thin trading is presented for Latin American stocks. The method proposed is applied to a set of data in which the estimator is adjusted for censoring, that is,...

In this paper, an alternative method of estimating the systematic risk for Canadian stocks is presented and empirically investigated. The method proposed is applied to a set of data impacted by censoring - the presence of zero returns, which occurs in extreme cases of thin trading. The approach...

A finding of the Australian Initial Public Offerings (IPOs) literature is that the time from prospectus registration to listing is related to the level of informed demand. This makes the understanding of time to listing an important matter. This study analyses the time to listing for 834 IPOs in...

The primary objective of this paper is to assess the affect of data 'censoring' on asset pricing tests. This is achieved by modifying tests to incorporate a 'selectivity bias' correction factor in a Gibbons (Journal of Financial Economics, 10, pp. 3-27, 1982) multivariate framework. The sample...