Investigation of: "Shopping in the Market-beta Mall"

Edward J. Lusk (), Michael Halperin (), Niya Stefanova () and Atanas Tetikov ()
Additional contact information
Edward J. Lusk: The State University of New York (SUNY), College at Plattsburgh: School of Business and Economics: Plattsburgh, U.S.A.
Michael Halperin: University of Pennsylvania, Philadelphia, U.S.A.
Niya Stefanova: University of Magdeburg, Magdeburg, Germany
Atanas Tetikov: University of Magdeburg, Magdeburg, Germany

Journal of Knowledge Management, Economics and Information Technology, 2011, vol. 1, issue 5, 9

Abstract: Beta, the simple regression slope of the returns of the Firm matched with those of the Market is a powerful financial signaling statistic in vogue since the 1960s, and still very much in use by financial analysts and firm decision makers. However, as there are a number of ways that one can obtain a measure of the period Firm-beta, this begs the following question: Are there important differences in these various betas? If so, this opens up the possibility of agenda-serving game-driven signaling, and thereby compromises the reliability the beta-information. We use the term "Market-beta Mall" to indicate the temptation to go shopping for beta in order to create a profile that would not be consistent as a Time-Benchmark for a particular firm. We show, clearly, that there are different measured values of beta. Given the "adverse" selection implications, we suggest a simple way to maintain the reliably of this critical signal - the period beta.

Keywords: beta source variation; Data Screening; beta-Downloads; beta-Consistency (search for similar items in EconPapers)
JEL-codes: G11 G12 G30 G32 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.scientificpapers.org/download/49/ (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spp:jkmeit:1167

Access Statistics for this article

More articles in Journal of Knowledge Management, Economics and Information Technology from ScientificPapers.org
Bibliographic data for series maintained by Adrian Ghencea ().