Are Calculated Betas Worth for Anything?
University of Navarra - IESE Business School
January 30, 2013
We calculate betas of 3,813 companies using 60 monthly returns each day of December 2001 and January 2002.
The median of [maximum beta / minimum beta] was 3.07.
Industry betas are also very unstable. The median (average) of the percentage daily change (in absolute value) of the industry betas was 7% (16%). On average, the maximum beta was 2.7 times its minimum beta in December 2001 and January 2002.
Number of Pages in PDF File: 24
Keywords: Beta, calculated betas
JEL Classification: G12, G31, M21working papers series
Date posted: February 20, 2004 ; Last revised: February 4, 2013
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