English, Article, Journal or magazine article edition: Are calculated betas good for anything? Fernandez, Pablo

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Bookmark: http://trove.nla.gov.au/version/170983
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Are calculated betas good for anything?
Author
  • Fernandez, Pablo
Physical Description
  • preprint
Notes
  • We calculate betas of 3,813 companies using 60 monthly returns each day of December 2001 and January 2002. The median (average) of the maximum beta divided by the minimum beta was 3.07 (15.7). The median of the percentage daily change (in absolute value) of the betas was 20%. Industry betas are also unstable. On average, the maximum beta of an industry was 2.7 times its minimum beta in December 2001 and January 2002. The median (average) of the percentage daily change (in absolute value) of the industry betas was 7% (16%). This dispersion of the calculated betas has important implications for the instability of beta-ranked portfolios.
  • beta; historical beta; expected beta; systematic risk; cost equity;
  • RePEc:ebg:iesewp:d-0555
Language
  • English
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