Home > Popular Stocks > JPM STOCK

JPM STOCK

JPM STOCK

Should Beta calculated from 3 years of data be significantly different if you use daily or monthly data?

I would think the data should be very similar, but GE's bata goes from .39 to .85, IBM's goes from 1.66 to .81.

Why is this happening? Is my beta formula wrong?
I used Beta = covar(stock,index)/varp(index)
with excel.

For 3 years of monthly data, I get the following Betas (they basically match what yahoo finance says, which is based on 3 years of monthly data):

KO0.51
DD1.21
XOM1.23
GE0.39
GM0.97
HPQ1.36
HD1.27
HON1.33
INTC1.59
IBM1.66
JNJ0.31
JPM0.87
MCD1.76
MRK1.04
MSFT1.24
PFE1.04
PG0.81
UTX0.68
VZ1.02
WMT0.22

For 3 years weekly data, I get the following betas:

KO0.67
DD1.03
XOM1.16
GE0.85
GM1.19
HPQ0.98
HD1.09
HON1.13
INTC1.31
IBM0.81
JNJ0.55
JPM1.14
MCD0.90
MRK0.81
MSFT0.89
PFE0.89
PG0.71
UTX0.98
VZ0.81
WMT0.81
DIS0.94


I think mathematically, you will arrive at a different beta value. There's no problem with your formula. Furthermore, using excel to do your computations practically narrows your margin of error to errors of formulation. Much as returns and standard deviations vary over different time frames, so would beta. Since beta factors in the variance and co-variances, using daily data imputes the day-to-day change and volatility in prices. Say Stock A closes at 5.00 this month over the prior month's 4.95. The variance would be small. However, if one uses daily or weekly data, and the Stock actually moved to a high of 7 and a low of 3 in between the month's comparative closes (cited above), then the variability would be large. Ergo, this will result in an altogether different beta value. That is why in using beta as an investment decision parameter, one should consider his/her holding period.

NEW Hobbico Hobbistar 60 Select RTF Chnl 38 HCAA18 NIB NEW Hobbico Hobbistar 60 Select RTF Chnl 38 HCAA18 NIB US $449.97 2d 2h 28m
Nortel NT3P00DV JPM Hirose RF Splitter Kit 824 849 MHz Nortel NT3P00DV JPM Hirose RF Splitter Kit 824 849 MHz US $.01 1d 2h 45m
Cloris Murphy Sexy Shiny Bright Pink Dress with flower side cut BD207 JPM Cloris Murphy Sexy Shiny Bright Pink Dress with flower side cut BD207 JPM US $9.99 1d 1h 1m
RARE TITANIC STOCK CERT w SUPERB SHIP VIGNETTE BEAUTIFULLY ENGRAVED 10 SHARES RARE TITANIC STOCK CERT w SUPERB SHIP VIGNETTE BEAUTIFULLY ENGRAVED 10 SHARES US $29.95 25d 7h 31m
CRISP CLEAN TITANIC STOCK w ENGRAVED OCEAN LINER RARE HISTORIC ORANGE 100sh GEM CRISP CLEAN TITANIC STOCK w ENGRAVED OCEAN LINER RARE HISTORIC ORANGE 100sh GEM US $23.96 23d 9h 43m
NEW JConcepts 1 10 Profiled 4WD Front Insert Firm 2 3202 1 NIB NEW JConcepts 1 10 Profiled 4WD Front Insert Firm 2 3202 1 NIB US $8.39 23d 2h 23m
NEW Cox Hobbies Hardware Pushrods Set Sky Ranger EP COXA5815 NIB NEW Cox Hobbies Hardware Pushrods Set Sky Ranger EP COXA5815 NIB US $7.29 23d 2h 22m
Nanotec Systems 301JPM15 Power cable 15m Golden Strada 301 Nanotec Systems 301JPM15 Power cable 15m Golden Strada 301 US $335.00 10d 4h 26m
$1250 New Size Medium Roberto Cavalli Womens Top Blouse Shirt Multicolor 174 $1250 New Size Medium Roberto Cavalli Womens Top Blouse Shirt Multicolor 174 US $329.99 6d 2h 40m
NEW Hobbico Nose Gear Cessna Corvalis RxR HCAA6361 NIB NEW Hobbico Nose Gear Cessna Corvalis RxR HCAA6361 NIB US $11.99 23d 2h 23m
NEW Hobbico Cowling Hatch Cessna Corvalis RxR HCAA6358 NEW Hobbico Cowling Hatch Cessna Corvalis RxR HCAA6358 US $11.99 23d 2h 23m
NEW Associated Pinion Gear 48P 35T 8272 NIB NEW Associated Pinion Gear 48P 35T 8272 NIB US $5.99 21d 2h 14m
NEW Thunder Tiger Fire Blade Tires 26mm PD9158 NIB NEW Thunder Tiger Fire Blade Tires 26mm PD9158 NIB US $8.99 5d 1h 44m
NEW Associated Factory Team Angled Servo Mounts 4562 NIB NEW Associated Factory Team Angled Servo Mounts 4562 NIB US $14.39 15d 2h 11m
AUTHENTIC RMS Titanic White Star Liner s owner IMMC Certificate Memorabilia AUTHENTIC RMS Titanic White Star Liner s owner IMMC Certificate Memorabilia US $149.00 29d 23h 43m
HALM JPM6 PRINTING PRESS 12W HALM JPM6 PRINTING PRESS 12W US $699.00 29d 20h 7m
NEW Associated LRP NP Back Plate 21 28 LRP38111 NIB NEW Associated LRP NP Back Plate 21 28 LRP38111 NIB US $17.29 29d 2h 10m
NEW Associated LRP Ball Bearing Rear 14x254x6mm ZR30 LRP38577 NIB NEW Associated LRP Ball Bearing Rear 14x254x6mm ZR30 LRP38577 NIB US $24.49 29d 2h 10m
IBANEZ JOHN PETRUCCI JPM 100 P4 DREAM THEATER MIJ MADE IN JAPAN 316169506 IBANEZ JOHN PETRUCCI JPM 100 P4 DREAM THEATER MIJ MADE IN JAPAN 316169506 US $1,829.99 28d 10h 49m
Old small size childs Sterling Silver 925 bracelet Mexican Abalone inlay Mexico Old small size childs Sterling Silver 925 bracelet Mexican Abalone inlay Mexico US $29.99 28d 5h 59m
JPM4107T 25 HP 3525 RPM NEW BALDOR MOTOR JPM4107T 25 HP 3525 RPM NEW BALDOR MOTOR US $600.00 26d 8h 41m
Jet 13 Closed Stand Planer Molder Machine 708524 NEW Jet 13 Closed Stand Planer Molder Machine 708524 NEW US $1,136.98 25d 6h 16m
Luxurious golden rectangular Eyeglasses by JEAN PATOU Mod JPM 8 K14W Luxurious golden rectangular Eyeglasses by JEAN PATOU Mod JPM 8 K14W US $49.00 24d 19h 35m
YAMAHA STEERING LOCK XV250 XV535 XVZ1300 YAMAHA STEERING LOCK XV250 XV535 XVZ1300 US $38.95 23d 2h 37m
Techno Watches Mens Fancy Color Diamond Watch 285ct Techno Watches Mens Fancy Color Diamond Watch 285ct US $995.00 22d 3h 53m
25hp Baldor JPM2516T C Face Long Shaft Pump Motor NOS 25hp Baldor JPM2516T C Face Long Shaft Pump Motor NOS US $897.00 22d 3h 51m
13 1 16 x5 8 x1 8 CARBIDE TIPPED PLANER KNIVES fits JET PLANER JPM 13 13 1 16 x5 8 x1 8 CARBIDE TIPPED PLANER KNIVES fits JET PLANER JPM 13 US $159.99 21d 22h 26m
Claude Bernard Womens Ladies Fashion Gold PVD Steel Wrist Watch 70161 357JPM AD Claude Bernard Womens Ladies Fashion Gold PVD Steel Wrist Watch 70161 357JPM AD US $525.00 20d 14h 31m
NEW TECHNO JPM LADYS BIG DIAMOND CHRONO CERAMIC WATCH NEW TECHNO JPM LADYS BIG DIAMOND CHRONO CERAMIC WATCH US $1,799.00 20d 4h 55m
Gold half rimless eyeglasses ModJPM36 by JEAN PATOU 15 Gold half rimless eyeglasses ModJPM36 by JEAN PATOU 15 US $59.00 19d 15h 21m
Claude Bernard Womens Ladies Fashion Steel Gold PVD Wrist Watch 61163 357JPM AD Claude Bernard Womens Ladies Fashion Steel Gold PVD Wrist Watch 61163 357JPM AD US $525.00 19d 3h 3m
Streetwise Peter L Bernstein Frank J Fabozzi Hardcov Streetwise Peter L Bernstein Frank J Fabozzi Hardcov US $55.00 18d 2h 55m
161CT GIA CERTIFIED FANCY YELLOW DIAMOND RING 18KW 161CT GIA CERTIFIED FANCY YELLOW DIAMOND RING 18KW US $3,199.00 18d 2h 4m
548CT ROUND DIAMOND ETERNITY 18K HOOP EARRINGS VVS1 E 548CT ROUND DIAMOND ETERNITY 18K HOOP EARRINGS VVS1 E US $4,499.99 18d 2h 4m
249CT F I1 CERTIFIED DIAMOND ENGAGEMENT RING 18KW 249CT F I1 CERTIFIED DIAMOND ENGAGEMENT RING 18KW US $3,099.00 18d 2h 4m
305CT GIA CERTIFIED FANCY YELLOW DIAMOND RING 18KW 305CT GIA CERTIFIED FANCY YELLOW DIAMOND RING 18KW US $5,699.00 18d 2h 4m
142CT GIA CERTIFIED FANCY YELLOW DIAMOND RING 18KW 142CT GIA CERTIFIED FANCY YELLOW DIAMOND RING 18KW US $2,899.00 18d 2h 4m
054CT I2 I3 G DIAMOND STUD EARRINGS 14K WHITE GOLD 054CT I2 I3 G DIAMOND STUD EARRINGS 14K WHITE GOLD US $324.00 18d 2h 4m
145CT F G VS2 SI1 CERTIFIED DIAMOND WEDDING BAND 18KW 145CT F G VS2 SI1 CERTIFIED DIAMOND WEDDING BAND 18KW US $1,299.00 18d 2h 4m
064CT I2 G DIAMOND STUD EARRINGS 14K WHITE GOLD 064CT I2 G DIAMOND STUD EARRINGS 14K WHITE GOLD US $384.99 18d 2h 4m
217CT F I1 CERTIFIED DIAMOND ENGAGEMENT RING 18KW 217CT F I1 CERTIFIED DIAMOND ENGAGEMENT RING 18KW US $2,699.00 18d 2h 4m
096CT G I2 CERTIFIED DIAMOND ENGAGEMENT RING 18KW 096CT G I2 CERTIFIED DIAMOND ENGAGEMENT RING 18KW US $1,299.00 18d 2h 4m
2001 Upper Deck Legends Jersey Pedro Martinez JSY 2001 Upper Deck Legends Jersey Pedro Martinez JSY US $9.38 17d 1h 33m
New Roberto Cavalli Womens Top Blouse Shirt Bordo Sz 40 New Roberto Cavalli Womens Top Blouse Shirt Bordo Sz 40 US $399.98 17d 1h 3m
JPM Exstasy Chronograph Diamond 44mm Watch JPM Exstasy Chronograph Diamond 44mm Watch US $1,475.00 16d 21h 22m
BLACK BOX CORP JPM418A R3 NSFP JPM418AR3 BLACK BOX CORP JPM418A R3 NSFP JPM418AR3 US $241.50 16d 19h 17m
Globalisation Fractures NEW by Charles Dumas Globalisation Fractures NEW by Charles Dumas US $21.51 16d 11h 47m
Building Credible Central Banks Policy Lessons for Eme Building Credible Central Banks Policy Lessons for Eme US $131.72 16d 8h 23m
NEW AUDIOPIPE VFDDT701 7 BLACK OVERHEAD MONITOR W DVD WIRELESS REMOTE NEW AUDIOPIPE VFDDT701 7 BLACK OVERHEAD MONITOR W DVD WIRELESS REMOTE US $151.89 16d 4h 18m
11 1 8 Brown Swirls Glass Center Hole Ceiling Lamp Shade Art Deco Pattern 11 1 8 Brown Swirls Glass Center Hole Ceiling Lamp Shade Art Deco Pattern US $44.99 15d 9h
White Milk Glass 8 Glass Lantern Lamp Chimney Shade Kerosene Oil Electric White Milk Glass 8 Glass Lantern Lamp Chimney Shade Kerosene Oil Electric US $79.99 15d 6h 28m
White SunFlowers 7 Glass Lantern Lamp Chimney Shade Kerosene Oil Electric White SunFlowers 7 Glass Lantern Lamp Chimney Shade Kerosene Oil Electric US $79.99 15d 6h 28m
New Roberto Cavalli Beige Blouse Shirt Multicolor Sz 40 New Roberto Cavalli Beige Blouse Shirt Multicolor Sz 40 US $329.99 14d 9h 56m
New Roberto Cavalli Gold Blouse Shirt Beige Sz 42 New Roberto Cavalli Gold Blouse Shirt Beige Sz 42 US $329.99 14d 9h 56m
New Roberto Cavalli Womens Top Blouse Shirt Tan 44 New Roberto Cavalli Womens Top Blouse Shirt Tan 44 US $329.99 14d 9h 56m
New Roberto Cavalli Womens Top Blouse Shirt Gold Tan 46 New Roberto Cavalli Womens Top Blouse Shirt Gold Tan 46 US $329.99 14d 9h 56m
White Glass 8 Glass Lantern Lamp Chimney Shade Kerosene Oil Electric White Glass 8 Glass Lantern Lamp Chimney Shade Kerosene Oil Electric US $34.99 14d 7h 15m
White Glass Center Hole Ceiling Lamp Shade W ART DECO Hobnail Pattern White Glass Center Hole Ceiling Lamp Shade W ART DECO Hobnail Pattern US $44.99 14d 7h 14m
White Glass Center Hole Ceiling Lamp Shade W ART DECO Pattern White Glass Center Hole Ceiling Lamp Shade W ART DECO Pattern US $44.99 14d 7h 14m
Clear Frosted Ribbed Glass Center Hole Ceiling Lamp Shade Art Deco Pattern Clear Frosted Ribbed Glass Center Hole Ceiling Lamp Shade Art Deco Pattern US $34.99 14d 6h 50m
  1. No comments yet.
  1. No trackbacks yet.