Η σχετική αποτελεσματικότητα του συντελεστή βήτα
The relative efficiency of beta coefficient
This dissertation deals with the calculation of betas in two important European markets. The primary purpose of this study is to examine the predictive ability of betas using different time intervals for calculating periodic stock returns. When the estimation of beta is based on the CAPM, the standard recommendation is to be used five years of monthly data and an equal-weighted index, as opposed to the commonly recommended value-weighted index, provides a more efficient beta estimate. The main question that we want to cover with this study is what data frequency should be used, daily, weekly, or monthly, and for how long in order to have an estimate of the beta relatively more effective. Essentially, this dissertation makes use of stock returns that are traded in the stock market in Germany and England. The estimation of the beta is central to many economic decisions, such as those relating to portfolio management, capital budgeting, and performance evaluation. In addition, the Beta is also a key variable in the academic world for example it is used for testing asset pricing models and market efficiency. Given the importance of this variable a pertinent question to professionals and academics is how to obtain a sufficient effective assessment.