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anonymous

  • 5 years ago

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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  1. anonymous
    • 5 years ago
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    If those stock are not traded everyday, then maybe you could consider evaluating your beta with monthly data ?

  2. anonymous
    • 5 years ago
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    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?

  3. anonymous
    • 5 years ago
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    Depends on your horizon, but if they are months without trading, i would tend to take month than day

  4. anonymous
    • 5 years ago
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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...

  5. anonymous
    • 5 years ago
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    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.

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