Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/311768 
Year of Publication: 
2023
Citation: 
[Journal:] Financial Markets and Portfolio Management [ISSN:] 2373-8529 [Volume:] 37 [Issue:] 3 [Publisher:] Springer US [Place:] New York, NY [Year:] 2023 [Pages:] 239-275
Publisher: 
Springer US, New York, NY
Abstract: 
Most studies on beta estimation look at the whole universe of stocks. We focus on a small subset that consists of stocks of companies which are subject to European network regulation. This allows us to examine beta time series of individual stocks and small peer groups in great detail. Our most important conclusions are: (1) Sudden beta increases or decreases occur that often last only short periods of time and may therefore cause a significant misestimation of the future beta. (2) Three- and especially five-year betas are much more stable than one-year betas. (3) The choice between purely local, European or global betas may matter considerably. (4) Weekly or daily betas seem to be better than monthly ones. (5) Vasicek and Blume adjustments towards one lead to beta predictions that are too high.
Subjects: 
Cost of capital
Beta
Coronavirus
Regulated firms
JEL: 
C52
G12
L94
L95
L96
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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