Are Calculated Betas Good for Anything?

22 Pages Posted: 20 Feb 2004 Last revised: 22 Nov 2015

Pablo Fernandez

University of Navarra - IESE Business School

Date Written: November 21, 2015

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.

Keywords: Beta, calculated betas

JEL Classification: G12, G31, M21

Suggested Citation

Fernandez, Pablo, Are Calculated Betas Good for Anything? (November 21, 2015). Available at SSRN: https://ssrn.com/abstract=504565 or http://dx.doi.org/10.2139/ssrn.504565

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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