Are Calculated Betas Good for Anything?
22 Pages Posted: 20 Feb 2004 Last revised: 17 Oct 2017
Date Written: November 21, 2015
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.
Keywords: Beta, calculated betas
JEL Classification: G12, G31, M21
Suggested Citation: Suggested Citation