Business Tutorial: BETA

"Beta: The measure of the systematic risk of a security.   The tendency of a security's returns to
respond to swings in the broad market."    Bodie, Zvi, Kane, Alex and Marcus, Alan J.,
Investments.
New York, NY: McGraw-Hill Irwin, 2005.

Where can I find a Current issues of Value Line Investment Survey and Bloomberg which are
company's current available at Pardee Library, and Yahoo Finance.
Beta?
Where can I locate the Value Line current issues are located at the Reference Desk.  
Value Line Investment
Survey, Bloomberg and Bloomberg, available only to the BU Community, is located in the
Yahoo.Finance? Reference area of Pardee Library on the computer terminal adjacent to the
Library Conference room.  During peak usage times sign up for 30 minute
sessions at the Reference Desk.  

Yahoo.Finance is available via the internet at

http://finance.yahoo.com.  After you input your ticker and retrieve your
company's information page click on "Key Statistics" from the left hand
tool bar.  Beta will be on the Key Statistics page on the right hand side.
How does Yahoo Yahoo Finance obtains its data from Reuters.  According to Reuters.com as
Finance derive beta? of 5-24-05 "The Beta that we use is Beta of Equity. Beta is the monthly
price change of a particular company relative to the monthly price change
of the S&P500. The time period for Beta is 5 years when available, and not
less than 2.5 years. This value is updated monthly."

How does Value Line Value Line BETA is derived from a 5-year regression between the
derive beta? relationship of the weekly percentage changes in the NYSE Composite
Index and the weekly percentage changes in the price of the stock with no
adjustment for dividends.   The 259 weeks used to calculate beta end
approximately 3 weeks prior to the Issue 1 date. All companies are
updated at the same time.

                              
How does Bloomberg
derive beta?
What is the Bloomberg
shortcut to get to a
company's beta?
       Copyright: Value Line 2005
Bloomberg provides two beta's one being the Historical or Raw Beta the
other being the Adjusted beta.
RAW or HISTORICAL beta measures the response of a company's return
to the market return over a 24-month historical regression. A price
regression with no adjustments for dividend's etc.  
Y= (Beta) * X + Alpha
 ADJUSTED beta is derived from raw or historical beta then modified by
the assumption that a security's true beta will move toward the market
average of one, over time.   It is an estimate of a security's future beta.  
The Bloomberg formula used to adjust Beta is:
(0.67) x Raw Beta + (0.33) x 1.0
67% confidence level or 1 standard deviation
Note: Bloomberg enables users to change the date range and relative
index used for calculating Beta. The current date and index default is set to
the prior two year period and to the major index of the country the stock is
trading in (i.e. Standard & Poor's for the United States and the Hang Seng
for a Hong Kong securities).
Ticker <EQUITY> Beta <GO> .
Where can I find beta for Earlier editions of Value Line Investment Survey & Wharton Research Data
a company over a Services ( WRDS ), Center for Research in Security Prices (CRSP)
specific date range ? database.  

 
Where can I locate Earlier editions of Value Line Investment Survey are located on microfiche.
earlier editions of Value Please ask for assistance at Pardee Library's Reference Desk.
Line and WRDS/CRSP ?
WRDS, available only to the BU Community, can be accessed from all
Reference Computers in Pardee Library.   The URL for WRDS can be
obtained at the Reference Desk.
How does CRSP derive "CRSP provides annual betas computed using the methods developed by
beta? Scholes and Williams (Myron Scholes and Joseph Williams, Estimating
Betas from Nonsynchronous Data", Journal of Financial Economics , vol 5,
1977, 309-327)."  CRSP Data Description Guide 02/05
Using CRSP, how do I get beta for my Follow the instructions below.
company over a specific date range ?
 
 
Where can I obtain stock and market returns to
calculate beta?
WRDS/CRSP provides many variables for financial
analysis.      The example below will walk you through t
steps needed to obtain monthly returns for General
Electric, NYSE/AMEX/NASDAQ and the S&P Composite
Index for the period 1998-2008.