Serving the Quantitative Finance Community

 
marie00
Topic Author
Posts: 3
Joined: October 25th, 2017, 8:41 pm

Where to get historical end of day Beta for a stock?

February 15th, 2018, 5:08 am

Hi,

I need historical beta end of day for IBM for example from 2018-01-01 to 2018-01-09.
Is there a free place to download that?
SPY is the index of reference.
 
User avatar
bearish
Posts: 5186
Joined: February 3rd, 2011, 2:19 pm

Re: Where to get historical end of day Beta for a stock?

February 15th, 2018, 3:20 pm

Hi,

I need historical beta end of day for IBM for example from 2018-01-01 to 2018-01-09.
Is there a free place to download that?
SPY is the index of reference.
Your best bet is probably to download closing prices for the stock and the index, e.g. from Yahoo Finance, and estimate your own betas. For reference, the headline beta provided by Bloomberg is based on rolling 2-year weekly regressions, with the regression result (raw beta) given a 2/3 weight and 1 given a 1/3 weight.
 
marie00
Topic Author
Posts: 3
Joined: October 25th, 2017, 8:41 pm

Re: Where to get historical end of day Beta for a stock?

February 15th, 2018, 5:03 pm

Thanks I will try that. My goal is too understand what people assume a traditional or classic beta is. I want to compare classic end of day beta to intraday beta. I have intraday beta for different windows. Any paper on what people use usually as a "classic beta"?
 
User avatar
bearish
Posts: 5186
Joined: February 3rd, 2011, 2:19 pm

Re: Where to get historical end of day Beta for a stock?

February 15th, 2018, 11:39 pm

From an academic point of view, the classic period for beta estimation and CAPM testing was the 70's and 80's, so I'd pick a famous paper or two from that era (e.g. Fama-Macbeth -73, Roll -77) and take their methodology as the benchmark. Probably you'll find estimators using weekly or monthly observations and years of data in a quest to estimate a parameter that is constant or, at most, slowly varying.