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:
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)


Directory Contents


File Name  ↓ File Size  ↓ Date  ↓ 
Parent directory/--
check-tesla/-2022-May-19 21:54
code/-2022-May-19 21:54
csvtable.css727 B2022-Feb-11 22:17
jquery.csvToTable.js6.0 KiB2022-Feb-11 21:31