"Estimating betas from nonsynchronous data" by Myron Scholes and Joseph Williams in Journal of Financial Economics, December 1977, pgs. 309-327.<p>Abstract is below.<p><i>Nonsynchronous trading of securities introduces into the market model a potentially serious econometric problem of errors in variables. In this paper properties of the observed market model and associated ordinary least squares estimators are developed in detail. In addition, computationally convenient, consistent estimators for parameters of the market model are calculated and then applied to daily returns of securities listed in the NYSE and ASE.</i>