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)

---

Directory Contents

---