Reliably estimating the beta of an individual stock has proved elusive. Individual stock price movements are a function of market/systematic movements and company specific/idiosyncratic movements. Since traditional beta estimation calculations make no attempt to minimize the impact of the...

The results suggest that the beta systematic risk measure calculated with the well-known single index market model (SIMM) may be a random coefficient. This would explain why the average NYSE stock has less than half of its total risk explained by market forces — the true beta is moving...

We investigate the time-scale relationships between the ten S&P sectors and the market through the use of wavelet analysis, a methodology that has widespread acceptance for investigating multi-horizon properties of time series. Our analysis of the data highlights that variation in the pattern of...