On the Instability of Betas: The Case of Spain

Abstract

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.

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

“…77% of the companies and 25% of the industries had, in a month, a maximum beta more than two times bigger than their minimum beta. Fernández (2004b) reaches similar conclusions with data of Spanish companies. Damodaran (1994) makes this point by calculating the beta of Disney with different intervals (3 and 5 years), different frequencies (daily, weekly…) and different market indexes: the beta ranges from 0.44 to 1.38.…”

Beta Tahmininde Getiri Araligi Etkisi: Imkb Örnegi

“…(2006), getiri aralığı etkisinin Çin borsasında da görüldüğünü raporlamışlar ve beta tahmininde çok dar veya çok geniş getiri aralıklarının kullanılmamasını, makul bir getiri aralığının kullanılması gerektiğini önermişlerdir. Fernandez (2003), Madrid borsasında işlem gören hisse senetleri betalarının, 5 yıllık tahmin süresinde, getiri aralığı günden haftalığa arttıkça dramatik bir biçimde değişkenlik gösterdiğini saptamıştır. Aygören ve Sarıtaş (2007) yapmış oldukları çalışmalarında Türk sermaye piyasasında 8-9 yıllık tahmin süresinin, beta tahmininde daha iyi sonuç verdiğini ileri sürmüşlerdir.…”