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anonymous

  • 5 years ago

What is the right way of calculating the beta ? Monthly, weekly, Daily ? Should I correct for low levels of liquidity ? Should I regress the company beta against the MCSI or NYSE ?

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  1. anonymous
    • 5 years ago
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    I don't know if there is some right way. I regress monthly returns against SP500 or MSCI for international companies. But be aware, these historical betas sometimes do not reflect company risk properly.

  2. anonymous
    • 5 years ago
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    People usually go with monthly returns.Anything below that is too much noisy.Liquidity is not the first thing you should worry about beta.You have got to consider the standard error,index being used(e.g.Nokia against the its home country stock exchange index).For a more precise estimation you should use a bottom up beta.

  3. anonymous
    • 5 years ago
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    I would say that at least 1 year data should be used.. and compare it with 10 years data.. (I prefer 10 year as 10 year data would cover a complete business cycle (at least this decade would) hence this would give a more approximate value.) You will notice that both beta value would be significantly different .

  4. anonymous
    • 5 years ago
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    I personally prefer monthly data over a minimum of 5 years. Tend to be less noisy than weekly, or daily, data.

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