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

See all articles by Jose Paulo Carelli

Jose Paulo Carelli

ISE Business School

Pablo Fernandez

University of Navarra - IESE Business School

Isabel Fernández Acín

University of Navarra - University of Navarra, Students

Alberto Ortiz Pizarro

University of Navarra, IESE Business School

Date Written: May 26, 2019

Abstract

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

Carelli, Jose Paulo and Fernandez, Pablo and Fernández Acín, Isabel and Ortiz Pizarro, Alberto, Which is the Right 'Market Beta'? 1,385 US Companies and 147 Betas/Company in a Single Date (May 26, 2019). Available at SSRN: https://ssrn.com/abstract=2509849 or http://dx.doi.org/10.2139/ssrn.2509849

Jose Paulo Carelli (Contact Author)

ISE Business School ( email )

Martiniano de Carvalho, 573 - Bela Vista
São Paulo, 01321001
Brazil

Pablo Fernandez

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/

Isabel Fernández Acín

University of Navarra - University of Navarra, Students ( email )

Pamplona
Spain

Alberto Ortiz Pizarro

University of Navarra, IESE Business School ( email )

Camino del Cerro del Águila, 3
Madrid, 28023
Spain

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