Are Calculated Betas Worth for Anything?

Fernández, Pablo

doi:10.2139/ssrn.504565

Cited by 31 publications

(14 citation statements)

References 41 publications

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“…On the average, the companies moved in the same direction as the index in only 58% of the months and on 48.7% of the days (or 68.3% and 65%, respectively, if we consider only the 30 Dow Jones companies). Fernández (2004). Figure 3 shows the betas of Coca-Cola, AT&T and Merck on the 31 days of December 2001 with respect to the S&P 500.…”

Section: Figure 2 Historical Betas Of Telefónica Bsch and Bbva In Dmentioning

confidence: 99%

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On the Instability of Betas: The Case of Spain

Fernández

2008

SSRN Journal

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is an interdisciplinary center with an international outlook and a focus on teaching and research in finance. It was created at the beginning of 1992 to channel the financial research interests of a multidisciplinary group of professors at IESE Business School and has established itself as a nucleus of study within the School's activities. Ten years on, our chief objectives remain the same: • Find answers to the questions that confront the owners and managers of finance companies and the financial directors of all kinds of companies in the performance of their duties • Develop new tools for financial management • Study in depth the changes that occur in the market and their effects on the financial dimension of business activity All of these activities are programmed and carried out with the support of our sponsoring companies. Apart from providing vital financial assistance, our sponsors also help to define the Center's research projects, ensuring their practical relevance.

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Section: Figure 2 Historical Betas Of Telefónica Bsch and Bbva In Dmentioning

confidence: 99%

“…Historical industry betas in the USA in December 2001 The betas are calculated each day of December 2001 with respect to the S&P 500 using monthly data of the previous 5 years Source: Fernández (2004).…”

Section: On the Instability Of Betas: The Case Of Spainmentioning

confidence: 99%

On the Instability of Betas: The Case of Spain

Fernández

2008

SSRN Journal

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“…The technical issues arise from the incorrect choice of market index or return interval, no synchronous trading and the existence of bid-ask spreads, etc (see e.g. Damodaran (2005), Fernandez (2004), Sander (2000), Levy (1971) etc). The fundamental issues stem from the fact that there may be other priced components of risk not captured by the CAPM (see e.g.…”

Section: Synthesis Of the Research Resultsmentioning

confidence: 99%

“…Although there are some fundamental and technical issues associated with the use of CAPM (see e.g. Damodaran (2005), Fernandez (2004), Sander (2000), Levy (1971), Fama and French (1992) etc), it is still by far the most widely used model for estimating the cost of equity (Bruner et al 2001, Pereiro 2002.…”

Section: Cost Of Venture Capitalmentioning

confidence: 99%

Venture Capital Investments and Financing in Estonia: A Case Study Approach

Kõomägi

Sander

2006

SSRN Journal

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“…Monthly return of April = (TRI of April, 7 / TRI of March, 7) -1. TRI = Total Return Index Fernández (2004a) calculates betas of 3,813 United States companies for every day of the month of December 2001 and finds that the median of [Maximum beta/minimum beta] for each company was 3.07. The median of the percentage daily change (in absolute value) of the betas was 20% for companies and 7% for industries.…”

Section: Figurementioning

confidence: 99%

Betas Used by Professors: A Survey with 2,500 Answers

Fernández

2009

SSRN Journal

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We report 2,510 answers from professors from 65 countries and 934 institutions. 1,791 respondents use betas, but 107 of them do not justify the betas they use. 97.3% of the professors who justify the betas use regressions, webs, databases, textbooks or papers (the paper specifies which ones), although many of them state that calculated betas "are poorly measured and have many problems". Only 0.9% of the professors justify the beta using exclusively personal judgment (named qualitative, common sense, intuitive, and logical magnitude betas by different professors). The paper includes interesting comments from 160 professors. We all admit that different investors may have different expected cash flows, but many of us affirm that the required return should be equal for everybody: That is a kind of schizophrenic approach to valuation. Most professors teach that the expected cash flows should be computed using common sense and good judgment about the company, its industry, the national economies… However, many professors teach a formula to calculate the discount rate (instead of again using common sense).

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Are Calculated Betas Worth for Anything?

Cited by 31 publications

References 41 publications

On the Instability of Betas: The Case of Spain

On the Instability of Betas: The Case of Spain

Venture Capital Investments and Financing in Estonia: A Case Study Approach

Betas Used by Professors: A Survey with 2,500 Answers

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