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.

This paper examines policies and procedures put in place by corporations to regulate trading in the stock by the firm's own insiders. Over 92% of our sample companies have their own policies restricting trading by insiders, and 78% have explicit blackout periods during which the company prohibits trading by its insiders. Our data indicate that blackout periods successfully suppress trading, both purchases and sales, by insiders, and that the blackout period is associated with a bid–ask spread that's narrower by about two basis points. Consistent with this effect on the spread, allowed insider trades are modestly more profitable than insider trades made during prohibited blackout periods.