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Are calculated betas good for anything?

  • Fernandez, Pablo

    ()

    (IESE Business School)

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.

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Paper provided by IESE Business School in its series IESE Research Papers with number D/555.

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Length: 35 pages
Date of creation: 23 Apr 2004
Date of revision:
Handle: RePEc:ebg:iesewp:d-0555
Contact details of provider: Postal: IESE Business School, Av Pearson 21, 08034 Barcelona, SPAIN
Web page: http://www.iese.edu/
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