Adjusted Betas under Reference-Day Risk

Gonzalez, M., Rodriguez, A., & Stein, R. (2014). Adjusted betas under reference-day risk. The Engineering Economist, 59(1), 79-88.

Posted: 15 Jan 2013 Last revised: 22 Aug 2017

See all articles by Marcelo Gonzalez

Marcelo Gonzalez

University of Chile - School of Economics and Business

Arturo Rodriguez

Universidad de Chile

Roberto Stein

University of Nebraska at Lincoln - Department of Finance

Date Written: January 14, 2013

Abstract

Our paper analyzes the performance of different methods to adjust beta. Specifically, we compare the standard OLS regression method with the Blume and the t-distribution methods from the point of view of reference-day risk. Our results indicate that the t-distribution method minimizes the variation due to changes in the reference day.

Keywords: Adjusted Betas, CAPM, Reference-day risk

JEL Classification: G11, G12, G14, G17

Suggested Citation

Gonzalez, Marcelo and Rodriguez, Arturo and Stein, Roberto, Adjusted Betas under Reference-Day Risk (January 14, 2013). Gonzalez, M., Rodriguez, A., & Stein, R. (2014). Adjusted betas under reference-day risk. The Engineering Economist, 59(1), 79-88., Available at SSRN: https://ssrn.com/abstract=2200571 or http://dx.doi.org/10.2139/ssrn.2200571

Marcelo Gonzalez

University of Chile - School of Economics and Business ( email )

Pío Nono Nº1, Providencia
Santiago, R. Metropolitana 7520421
Chile

Arturo Rodriguez

Universidad de Chile ( email )

Pío Nono Nº1, Providencia
Santiago, R. Metropolitana 7520421
Chile

Roberto Stein (Contact Author)

University of Nebraska at Lincoln - Department of Finance ( email )

Lincoln, NE 68588-0490
United States

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