In search of beta

Alan Gregory*, Shan Hua, Rajesh Tharyan

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

Despite its limitations, the CAPM is a popular asset pricing model. However, the estimation of beta in the CAPM is affected by the choice of the returns frequency and firm characteristics. This study undertakes a detailed examination of the evidence for the UK and we find that the differences in beta computed from returns of various frequencies are related to size, liquidity, book-to-market and to some degree, opacity factors. One area where our conclusions might have important implications is in the regulatory use of the CAPM. Our results imply that low frequency beta estimates should, in most cases, be preferred to high frequency beta estimates.
Original languageEnglish
Pages (from-to)425-441
Number of pages17
JournalThe British Accounting Review
Volume50
Issue number4
Early online date23 Dec 2017
DOIs
Publication statusPublished - 1 Jun 2018
Externally publishedYes

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