The discount brokerage firms are the comparable firms for Ameritrade

From exhibit 4, the comparable firms for Ameritrade are Charles Schwab, E*Trade, Quick and reilly and Waterhouse Investors

From exhibit 5, E*Trade also went for IPO recently in Aug 1996. So, sufficient data for computing beta of E*Trade is not availab

So, we estimate the beta of the remaining 4 comparable firms and take the average as the beta for Ameritrade

For which period should we estimate the equity beta????

Since the capital structure ( weightage of debt and equity) is provided only for the 5 year period from 1992 to 1996, we must r
lly and Waterhouse Investors

g beta of E*Trade is not available

for Ameritrade

from 1992 to 1996, we must restrict our beta calculation to this period only
DATE MPS DPS SPLIT R_CS R_M ( VW)
31-Jan-92 31.875 0.040 0.0507 -0.001650
28-Feb-92 33.250 - 0.0431 0.013290
31-Mar-92 34.625 - 0.0414 -0.023680
WHEN THERE IS N
30-Apr-92 28.500 0.060 -0.1752 0.013850 CALCULATED WITH
29-May-92 28.875 - 0.0132 0.006520 (𝑀𝑃𝑆_𝑇+𝐷𝑃𝑆_𝑇−
30-Jun-92 23.500 - -0.1861 -0.019240
31-Jul-92 24.625 0.060 0.0504 0.039930
31-Aug-92 22.500 - -0.0863 -0.020760
30-Sep-92 18.000 - -0.2000 0.012420
30-Oct-92 20.250 0.060 0.1283
30-Nov-92 24.875 - 0.2284
0.010900
0.040190
WHEN THERE IS A
31-Dec-92 26.125 - 0.0503 0.017540 ARE CALCULATED W
29-Jan-93 30.250 0.060 0.1602 0.012330 ((𝑋/𝑌)(𝑀𝑃𝑆_𝑇+𝐷
26-Feb-93 32.375 - 0.0702 0.005450
31-Mar-93 36.500 - 0.1274 0.025010
30-Apr-93 32.750 0.075 -0.1007 -0.025510
28-May-93 35.250 - 0.0763 0.029420
30-Jun-93 28.500 - 3 for 2 0.2128 0.005130
30-Jul-93 29.000 0.050 0.0193 -0.000760
31-Aug-93 32.875 - 0.1336 0.039340 SUMMARY OUTPUT
30-Sep-93 34.500 - 0.0494 0.000610
29-Oct-93 34.625 0.050 0.0051 0.018040 Regression Statistics
30-Nov-93 31.875 - -0.0794 -0.017350 Multiple R
31-Dec-93 32.375 - 0.0157 0.019450 R Square
31-Jan-94 29.500 0.070 -0.0866 0.031330 Adjusted R
28-Feb-94 27.500 - -0.0678 -0.024090 Standard E
31-Mar-94 26.875 - -0.0227 -0.045740 Observatio
29-Apr-94 28.375 0.070 0.0584 0.009830
31-May-94 30.250 - 0.0661 0.009500 ANOVA
30-Jun-94 24.750 - -0.1818 -0.027380
29-Jul-94 26.750 0.070 0.0836 0.030410 Regression
31-Aug-94 30.750 - 0.1495 0.042830 Residual
30-Sep-94 29.625 - -0.0366 -0.018650 Total
31-Oct-94 35.375 0.070 0.1965 0.014870
30-Nov-94 31.875 - -0.0989 -0.037070 Coefficients
30-Dec-94 34.875 - 0.0941 0.012750 Intercept
31-Jan-95 40.000 0.090 0.1495 0.020550 R_M ( VW)
28-Feb-95 44.375 - 0.1094 0.039620
31-Mar-95 32.250 - 3 for 2 0.0901 0.026970
28-Apr-95 34.250 0.060 0.0639 0.024880
𝛽_(𝐸−𝐶𝑆)=2.29
31-May-95 35.000 - 0.0219 0.034160
30-Jun-95 43.875 - 0.2536 0.030840
31-Jul-95 46.125 0.080 0.0531 0.040670
31-Aug-95 46.625 - 0.0108 0.009340
29-Sep-95 29.000 - 2 for 1 0.2440 0.036390
31-Oct-95 22.875 0.040 -0.2098 -0.011150
30-Nov-95 24.250 - 0.0601 0.042970
29-Dec-95 20.125 - -0.1701 0.015400
31-Jan-96 25.125 0.040 0.2504 0.028090
29-Feb-96 25.500 - 0.0149 0.016050
29-Mar-96 25.875 - 0.0147 0.011200
30-Apr-96 24.500 0.040 -0.0516 0.025130
31-May-96 24.250 - -0.0102 0.026720
28-Jun-96 24.500 - 0.0103 -0.007660
31-Jul-96 24.125 0.050 -0.0133 -0.053390
30-Aug-96 25.000 - 0.0363 0.032220
30-Sep-96 23.000 - -0.0800 0.052990
31-Oct-96 25.000 0.050 0.0891 0.013940
29-Nov-96 30.250 - 0.2100 0.065730
31-Dec-96 32.000 - 0.0579 -0.011350
WHEN THERE IS NO SHARE SPLIT, THE MONTHLY RETURNS ARE
CALCULATED WITH THIS FORMULA
𝑀𝑃𝑆_𝑇+𝐷𝑃𝑆_𝑇−𝑀𝑃𝑆_(𝑇−1))/(𝑀𝑃𝑆_(𝑇−1) )

WHEN THERE IS A X FOR Y SHARE SPLIT, THE MONTHLY RETURNS

ARE CALCULATED WITH THIS FORMULA
(𝑋/𝑌)(𝑀𝑃𝑆_𝑇+𝐷𝑃𝑆_𝑇)−𝑀𝑃𝑆_(𝑇−1))/(𝑀𝑃𝑆_(𝑇−1) )

SUMMARY OUTPUT

Regression Statistics
0.494089
0.244124
0.231091
0.100954
60

df SS MS F Significance F
1 0.190912 0.190912 18.73215 6.018E-05
58 0.591116 0.010192
59 0.782027

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95.0%
Upper 95.0%
0.006291 0.014465 0.434936 0.665223 -0.022663 0.035246 -0.022663 0.035246
2.296981 0.530718 4.328065 6.018E-05 1.234634 3.359328 1.234634 3.359328

𝛽_(𝐸−𝐶𝑆)=2.297
RE