Abstract

http://ssrn.com/abstract=504565
 
 

References (71)



 
 

Citations (34)



 


 



Are Calculated Betas Good for Anything?


Pablo Fernandez


University of Navarra - IESE Business School

November 25, 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: 23

Keywords: Beta, calculated betas

JEL Classification: G12, G31, M21

working papers series


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Date posted: February 20, 2004 ; Last revised: November 26, 2013

Suggested Citation

Fernandez, Pablo, Are Calculated Betas Good for Anything? (November 25, 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/
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