What is it about?
CAPM Betas can vary depending on whether they are estimated over daily, weekly or monthly returns. Additionally, they can vary depending on how long (1 year, 2 years or 5 years) the estimation window length is. This is also called the interval and frequency related Beta drift. We show this effect and find that weekly betas may be optimal for portfolios that have moderate trading frequencies.
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This page is a summary of: Time Dependence of CAPM Betas on the Choice of Interval Frequency and Return Timeframes: Is There an Optimum?, Journal of Risk and Financial Management, November 2022, MDPI AG,
DOI: 10.3390/jrfm15110520.
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