Risk measurement when shares are subject to infrequent trading
When securities are thinly traded OLS techniques yield biased beta estimates. Procedures for calculating consistent estimates are proposed by Scholes and Williams (1977) and by Dimson (1979). This comment examines both procedures and concludes that the Dimson procedure is incorrect and cannot generally be expected to yield consistent beta estimates. However, a variant of this procedure can yield results which are identical to Scholes and Williams' and is, therefore, correct.