β estimation affected by volume of trading

CFA Level II Portfolio Management
#1

Hi,

CFAI states in one of the PP of PF Mgt that beta estimation is affected by volume of trading.

Can anybody explain to me why that is the case?

Thanks in advance.

#2

I would be thankful for an explanation.

#3

x

#4

Lower volume stocks typically have a higher beta, the price jumps around because there aren’t many buyers or sellers

#5

tnx, JSobes!