Simpler Better Market Betas

In-time estimates. The best-known market-beta forecasts and very good in-time return standard deviation estimates. A longer description and download links appear below.
The latest market-betas for firms trading as of 12-31-2021 are in betas-2021.csv, with individual firms listed on this webpage below, too.
(All historical month-end betas are in betas.csv.gz.)
Variable Definitions:
tic Ticker
permno from crsp
yyyymmdd  day of calculation (last return included)
n number of returns used.
bswa32 the best predictive market-beta known, (slope-winsorize-parameter 3; age-parameter 2).
See code. Also contains more information.
Free and unencumbered. Please cite Ivo Welch, 2022, Simply Better Betas, Critical Finance Review, 11-1. (Handling editor was Campbell Harvey.)

Betas as of Dec 31, 2021 (Download CSV)

Directory Contents

File Name  ↓ File Size  ↓ Date  ↓ 
-2024-Mar-20 17:29
-2024-Mar-20 17:29
727 B2022-Feb-12 05:17
6.0 KiB2022-Feb-12 04:31