Purpose – Estimates of systematic risk or beta are an important determinant of the cost of capital. The standard technique used to compile beta estimates is an ordinary least squares regression of stock returns on market returns using four to five years of monthly data. This convention assumes...

Estimates of systematic risk or beta are an important determinant of the cost of capital. The standard technique used to compile beta estimates is an ordinary least squares regression of stock returns on market returns using 4 - 5 years of monthly data. This convention assumes that a longer time...