El Peligro de utilizar Betas Calculadas (The Danger of Using Calculated Betas)

Abstract

Spanish Abstract: En este artículo se muestra que es un error enorme utilizar las betas calculadas con datos históricos para calcular la rentabilidad exigida a las acciones o para medir la gestión de una cartera de valores. Por 7 razones: porque cambian mucho de un día para otro; porque dependen de qué índice bursátil se tome como referencia. porque dependen mucho de qué periodo histórico (5 años, 3 años,…) y de qué rentabilidades (mensuales, anuales,…) se utilicen para su cálculo; porque con mucha frecuencia no sabemos si la beta de una empresa es superior o inferior a la beta de otra empresa; porque tienen muy poca relación con la rentabilidad posterior de las acciones; y porque la correlación (y la R2) de las regresiones que se utilizan para su cálculo son muy pequeñas.

English Abstract: It is a big mistake to use betas calculated from historical data to compute the required return to equity. It is a mistake for seven reasons: because betas calculated from historical data change considerably from one day to the next; because calculated betas depend very much on which stock index is used as the market reference; because calculated betas depend very much on which historical period is used to calculate them; because calculated betas depend on what returns (monthly, daily, ...) are used to calculate them; because very often we do not know if the beta of one company is lower or higher than the beta of another; because calculated betas have little correlation with stock returns; and because the correlation coefficients of the regressions used to calculate the betas are very small.

We illustrate these seven reasons with data from the USA and from Spain.

For these seven reasons we can say that the beta calculated from historical data is not a good approximation to the company's beta, or the CAPM does not work (the required return is affected by other factors, besides the covariance of the company's return with the market return, the risk-free rate and the market risk premium), or both things at once.

Note: Downloadable document is in Spanish.

Keywords: Beta, CAPM, historical beta, betas historicas

JEL Classification: G12, G31, M21