http://soberlook.com/2013/12/daily-price-data-underestimates-stock.html
Not news, but thought it might be of interest to Quantopians
Hey Simon,
Thanks for the post and the insight. An illustrative example - AOL had a beta of 1.20 using daily returns and 1.80 using monthly returns. A few comments to add to the thoughts presented in the article. The underestimation of beta is likely to be more sever with smaller firms, which are more likely to suffer from non-trading than other firms. Analysts and portfolio managers are also faced with a choice of what time period of historical data to use in estimating beta. S&P uses five years of data while Bloomberg only uses two. A longer estimation period provides more data, but the firm may have changes its risk characteristics over the time period.
Ryan
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.