Dear Aswath, have trouble with finding Ke for Russian companies, especially finding the betas for different years - some stocks didn't trade every day, so the betas are really strange. can you please advise me how to find Ke not through a capm model?
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If those stock are not traded everyday, then maybe you could consider evaluating your beta with monthly data ?
thank you, Pierre, but I'm a bit afraid that the variation in the prices will be largely reduced by use of monthly data. some stock didn't trade on micex for a month or two am I supposed to exclude these months or? kind of strange. perhaps, Aswath can add something to the answer?
Depends on your horizon, but if they are months without trading, i would tend to take month than day
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Use sector average betas for emerging markets... I would not trust a Russian regression beta further than I could throw it...
Thank you so much. I'll try them. How did you estimate the betas for the Russian stocks trading on micex and rts? i haven't looked at all of the .xls but in the last ones you have some russian companies from this trading systems.