Which is the Right 'Market Beta'? 1,385 US Companies and 147 Betas/Company in a Single Date
13 Pages Posted: 18 Oct 2014 Last revised: 2 Jun 2019
Date Written: May 26, 2019
We report betas of 1,385 US companies on March 31, 2014, calculated with the S&P500. We calculate 147 betas for each company using monthly, weekly and daily returns and using different intervals: from a year to five years. The average (median) of the difference [maximum beta - minimum beta] was 1.17 (1.03). The 30 companies with biggest market capitalization had an average (median) of the difference [maximum beta - minimum beta] of 0.81 (0.72).
We show that comparing two companies, if asked “Which company had a higher beta on March 31, 2014?” you can answer anything you want choosing the appropriate returns (daily, weekly or monthly) and the appropriate period (from 1 to 5 years).
Ranking the companies according to their betas, we find that the average of the [maximum ranking - minimum ranking] for the 1,385 companies is 786.
Keywords: Beta, calculated betas, beta ranking, CAPM
JEL Classification: G12, G31, M21
Suggested Citation: Suggested Citation