Are Calculated Betas Worth for Anything?

Fernandez, Pablo

doi:10.2139/ssrn.504565

Abstract

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Are Calculated Betas Worth for Anything?

Pablo Fernandez

University of Navarra - IESE Business School

January 30, 2013

Abstract:
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, M21

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Date posted: February 20, 2004 ; Last revised: February 4, 2013

Suggested Citation

Fernandez, Pablo, Are Calculated Betas Worth for Anything? (January 30, 2013). Available at SSRN: http://ssrn.com/abstract=504565 or http://dx.doi.org/10.2139/ssrn.504565

Contact Information

Pablo Fernandez (Contact Author)

University of Navarra - IESE Business School ( email )

Camino del Cerro del Aguila 3
28023 Madrid
Spain
+34 91 357 0809 (Phone)
+34 91 357 2913 (Fax)

HOME PAGE: http://web.iese.edu/PabloFernandez/