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.
- Variable Definitions:
permno from crsp (or ticker os cusip or gvkey) yyyymmdd day of calculation bswa32 the best beta known, (slope-winsorize-parameter 3; age-parameter 2). sd0111 a very good estimate, 0.5*sd[mo] + 0.35*sd[mo-1] + 0.15*sd[mo-11], where sd[mo] is the monthly standard deviation of daily rates of return within month mo, winsorized at 15%.
- Free and unencumbered. Please cite Ivo Welch, Simpler Better Market Betas, UCLA May 2020.