Cheung, Stephen Yan LeungStephen Yan LeungCheungWoo, C.-K.Ho, R. Y.-K.2025-11-252025-11-251994https://repository.sfu.edu.hk/handle/sfu/5202This 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.enjournal article10.1016/0927-538X(94)90005-1