Simpler Better Market Betas
- URL:
- https://www.ivo-welch.info/research/betas/
- Synopsis:
- 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.
- TL;DR:
- 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.) - Download:
-
- Most Recent 2021 Betas (also displayed below);
- All Historical Market Betas, gzipped, month ends.
- 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). - Code:
- See code. Also contains more information.
- License:
- 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)
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Directory Contents
File Name ↓ | File Size ↓ | Date ↓ |
---|---|---|
Parent directory/ | - | - |
code/ | - | 2024-Nov-13 19:11 |
check-tesla/ | - | 2024-Nov-13 19:11 |
jquery.csvToTable.js | 6.0 KiB | 2022-Feb-12 04:31 |
csvtable.css | 727 B | 2022-Feb-12 05:17 |