Endogeneity bias in beta estimation: Thailand and Hong Kong
Author(s)
Author(s)
Woo, C.-K.
Ho, R. Y.-K.
Date Issued
1994
Publisher
Elsevier
Journal
Pacific-Basin Finance Journal
Volume
2
Issue
4
Start page
453
End page
461
Abstract
This paper shows that the OLS estimates for beta in a small stock market are likely to be biased upward because of endogenous market returns. Applying the Hausman test to the monthly stock return data for Thailand and Hong Kong, we find the OLS estimates inconsistent. The OLS estimates are larger than the consistent estimates obtained by the instrumental method. This confirms our expectation that the OLS estimates are biased upward.
SFU Affiliated Publication
No
Availability at SFU Library
No database links found.