Hi,I am working on a strategy which uses betas of companies. I realized that some very high beta companies does not selected by my strategy because my own beta calculation gives much lower beta values than the beta values on Reuters or Yahoo Finance. An example is Avis-Budget Group. Using different data frequencies and lengths I calculated beta values around or less than 2. However Yahoo Finance shows a beta value of 5.45 and Reuters was showing a beta value of 5.05. Reuters calculates beta as follows:http://reuters-en.custhelp.com/app/answ ... ebsite%3FI downloaded monthly index returns of S&P500 and monthly returns of Avis Budget from September 2006 to beginning of 2011 from CRSP and performed a linear regression. I get a beta around 1.2. I also tried using daily frequencies and different lengths but never get something close to 5.Why is there a so big difference? Am I doing something wrong?Thanks.

Using monthly returns from April 06 to April 11, I calculate a beta of 5.0.Using daily returns over the same period the beta is 1.6.Difficult to tell if you are doing something wrong without knowing how you compute the calculation!