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 | US $449.97 | 2d 2h 28m |
 |
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 | US $9.99 | 1d 1h 1m |
 |
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 | US $23.96 | 23d 9h 43m |
 |
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 | US $7.29 | 23d 2h 22m |
 |
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 | US $329.99 | 6d 2h 40m |
 |
NEW Hobbico Nose Gear Cessna Corvalis RxR HCAA6361 NIB | US $11.99 | 23d 2h 23m |
 |
NEW Hobbico Cowling Hatch Cessna Corvalis RxR HCAA6358 | US $11.99 | 23d 2h 23m |
 |
NEW Associated Pinion Gear 48P 35T 8272 NIB | US $5.99 | 21d 2h 14m |
 |
NEW Thunder Tiger Fire Blade Tires 26mm PD9158 NIB | US $8.99 | 5d 1h 44m |
 |
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 | US $149.00 | 29d 23h 43m |
 |
HALM JPM6 PRINTING PRESS 12W | US $699.00 | 29d 20h 7m |
 |
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 | US $24.49 | 29d 2h 10m |
 |
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 | US $29.99 | 28d 5h 59m |
 |
JPM4107T 25 HP 3525 RPM NEW BALDOR MOTOR | US $600.00 | 26d 8h 41m |
 |
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 | US $49.00 | 24d 19h 35m |
 |
YAMAHA STEERING LOCK XV250 XV535 XVZ1300 | US $38.95 | 23d 2h 37m |
 |
Techno Watches Mens Fancy Color Diamond Watch 285ct | US $995.00 | 22d 3h 53m |
 |
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 | US $159.99 | 21d 22h 26m |
 |
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 | US $1,799.00 | 20d 4h 55m |
 |
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 | US $525.00 | 19d 3h 3m |
 |
Streetwise Peter L Bernstein Frank J Fabozzi Hardcov | US $55.00 | 18d 2h 55m |
 |
161CT GIA CERTIFIED FANCY YELLOW DIAMOND RING 18KW | US $3,199.00 | 18d 2h 4m |
 |
548CT ROUND DIAMOND ETERNITY 18K HOOP EARRINGS VVS1 E | US $4,499.99 | 18d 2h 4m |
 |
249CT F I1 CERTIFIED DIAMOND ENGAGEMENT RING 18KW | US $3,099.00 | 18d 2h 4m |
 |
305CT GIA CERTIFIED FANCY YELLOW DIAMOND RING 18KW | US $5,699.00 | 18d 2h 4m |
 |
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 | US $324.00 | 18d 2h 4m |
 |
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 | US $384.99 | 18d 2h 4m |
 |
217CT F I1 CERTIFIED DIAMOND ENGAGEMENT RING 18KW | US $2,699.00 | 18d 2h 4m |
 |
096CT G I2 CERTIFIED DIAMOND ENGAGEMENT RING 18KW | US $1,299.00 | 18d 2h 4m |
 |
2001 Upper Deck Legends Jersey Pedro Martinez JSY | US $9.38 | 17d 1h 33m |
 |
New Roberto Cavalli Womens Top Blouse Shirt Bordo Sz 40 | US $399.98 | 17d 1h 3m |
 |
JPM Exstasy Chronograph Diamond 44mm Watch | US $1,475.00 | 16d 21h 22m |
 |
BLACK BOX CORP JPM418A R3 NSFP JPM418AR3 | US $241.50 | 16d 19h 17m |
 |
Globalisation Fractures NEW by Charles Dumas | US $21.51 | 16d 11h 47m |
 |
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 | US $151.89 | 16d 4h 18m |
 |
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 | US $79.99 | 15d 6h 28m |
 |
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 | US $329.99 | 14d 9h 56m |
 |
New Roberto Cavalli Gold Blouse Shirt Beige Sz 42 | US $329.99 | 14d 9h 56m |
 |
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 | US $329.99 | 14d 9h 56m |
 |
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 | US $44.99 | 14d 7h 14m |
 |
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 | US $34.99 | 14d 6h 50m |