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.
- 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.)
- 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).
- See code. Also contains more information.
- 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)
|File Name ↓||File Size ↓||Date ↓|
|jquery.csvToTable.js||6.0 KiB||2022-Feb-12 04:31|
|csvtable.css||727 B||2022-Feb-12 05:17|