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 findacompany's current Beta? Where can I locate the Value Line Investment Survey, Bloomberg and Yahoo.Finance? Current issues of Value Line Investment Survey and Bloomberg which are available at Pardee Library, and Yahoo Finance. Value Line current issues are located at the Reference Desk. Bloomberg, available only to the BU Community, is located in the 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 Finance derivebeta? Yahoo Finance obtains its data from Reuters. According to Reuters.com as 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. Thisvalueisupdatedmonthly." Value LineBETA is derived from a 5-year regression between the 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. Allcompanies are updated at thesame time.
How doesValue Line derivebeta?
0 67% confidence level or 1 standard deviation Note: Bloomberg enables users to change the date range and relative index used for calculating Beta.
.Copyright: Value Line 2005 How does Bloomberg derive beta? Bloomberg provides two beta's one being the Historical or Raw Beta the other being the Adjusted beta. The Bloomberg formula used to adjust Beta is: (0.67) x Raw Beta + (0. over time.33) x 1. It is an estimate of a security's future beta. A price regression with no adjustments for dividend's etc. Standard & Poor's for the United States and the Hang Sengfor a Hong Kong securities). 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.e. 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. What is the Bloomberg shortcut to get to a company's beta? Ticker<EQUITY>Beta <GO> . RAW or HISTORICAL beta measures the response of a company's return to the market return over a 24-month historical regression.
Where can I find beta for a company over a specific date range ?
Earlier editions of Value Line Investment Survey & Wharton Research Data Services ( WRDS ). 1977. Please ask for assistance at Pardee Library's Reference Desk.
Where can I locate earlier editions of Value Line and WRDS/CRSP ?
Earlier editions ofValue LineInvestment Survey are located on microfiche.
Using CRSP. 309-327). can be accessed from all Reference Computers in Pardee Library. how do I get betafor my company over a specific date range ?
. The URL for WRDS can be obtained at the Reference Desk. Estimating Betas from Nonsynchronous Data".vol 5. WRDS. available only to the BU Community.
How doesCRSP derive beta?
"CRSP provides annual betas computed using the methods developed by Scholes and Williams (Myron Scholes and Joseph Williams." CRSP Data Description Guide 02/05 Followtheinstructionsbelow. Journal of Financial Economics . Center for Research in Security Prices (CRSP) database.
NYSE/AMEX/NASDAQ and the S&P Composite Index for the period 1998-2008.
. The example below will walk you through t steps needed to obtain monthly returns for General Electric.Where can I obtain stock and market returns to calculate beta?
WRDS/CRSP provides many variables for financial analysis.