Where can I find a company's current Beta?

Current issues of Value Line Investment Survey and Bloomberg which are available at Pardee Library, and Yahoo Finance.

Where can I locate the Value Line Investment Survey, Bloomberg and Yahoo.Finance?

Value Line current issues are located at the Reference Desk.  

Bloomberg, available only to the BU Community, is located in the Reference area of Pardee Library on the computer terminal adjacent to the Library Conference room.  During peak usage times sign up for 30 minute sessions at the Reference Desk.  

Yahoo.Finance is available via the internet at http://finance.yahoo.com.  After you input your ticker and retrieve your company's information page click on "Key Statistics" from the left hand tool bar.  Beta will be on the Key Statistics page on the right hand side.

How does Value Line derive beta?

Value Line BETA is derived from a 5-year regression between the relationship of the weekly percentage changes in the NYSE Composite Index and the weekly percentage changes in the price of the stock with no adjustment for dividends.   The 259 weeks used to calculate beta end approximately 3 weeks prior to the Issue 1 date. All companies are updated at the same time.

How does Bloomberg derive beta?

Bloomberg provides two beta's one being the Historical or Raw Beta the other being the Adjusted beta.

RAW or HISTORICAL beta measures the response of a company's return to the market return over a 24-month historical regression. A price regression with no adjustments for dividend's etc.  

Y= (Beta) * X + Alpha

 ADJUSTED beta is derived from raw or historical beta then modified by the assumption that a security's true beta will move toward the market average of one, over time.   It is an estimate of a security's future beta.  

The Bloomberg formula used to adjust Beta is:

(0.67) x Raw Beta + (0.33) x 1.0
67% confidence level or 1 standard deviation

Note: Bloomberg enables users to change the date range and relative index used for calculating Beta. The current date and index default is set to the prior two year period and to the major index of the country the stock is trading in (i.e. Standard & Poor's for the United States and the Hang Seng for a Hong Kong securities).

What is the Bloomberg shortcut to get to a company's beta?

Ticker <EQUITY> Beta <GO> .

Where can I find beta for a company over a specific date range ?

Earlier editions of Value Line Investment Survey & Wharton Research Data Services ( WRDS ), Center for Research in Security Prices (CRSP) database.  

Where can I locate earlier editions of Value Line and WRDS/CRSP ?

Earlier editions of Value Line Investment Survey are located on microfiche. Please ask for assistance at Pardee Library's Reference Desk.

WRDS, available only to the BU Community, can be accessed from all Reference Computers in Pardee Library.   The URL for WRDS can be obtained at the Reference Desk.

How does CRSP derive beta?

"CRSP provides annual betas computed using the methods developed by Scholes and Williams (Myron Scholes and Joseph Williams, Estimating Betas from Nonsynchronous Data", Journal of Financial Economics , vol 5, 1977, 309-327)."  CRSP Data Description Guide 02/05

Using CRSP, how do I get beta for my
company over a specific date range ?

Where can I obtain stock and market returns to calculate beta?

WRDS/CRSP provides many variables for financial analysis.      The example below will walk you through the steps needed to obtain monthly returns for General Electric, NYSE/AMEX/NASDAQ and the S&P Composite Index for the period 1998-2004.