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The Low Beta Anomaly and Estimation Interval

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  • Brandon Renfro

Abstract

The purpose of this study was to assess the nature of the relationship between equity beta, and post-estimation return. Specifically, this study sought to address the validity and persistence of the low-beta anomaly across multiple beta estimation intervals. Within the twenty-year sample period from January of 1994 to December of 2013 this research covered ten different beta estimation intervals to determine whether a statistically significant and theoretically consistent relationship existed between equity beta and post-estimation realized return. This research provided two basic conclusions- First, the low-beta anomaly is not robust across multiple beta estimation intervals. Second, with any test of the relationship between beta and return the choice of beta estimation interval matters. Different estimation intervals sometimes provide contradictory empirical results for the same period.

Suggested Citation

  • Brandon Renfro, 2019. "The Low Beta Anomaly and Estimation Interval," Accounting and Finance Research, Sciedu Press, vol. 8(1), pages 203-203, February.
    • Handle: RePEc:jfr:afr111:v:8:y:2019:i:1:p:203
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    References listed on IDEAS

    as
    1. Azamat Abdymomunov & James Morley, 2011. "Time variation of CAPM betas across market volatility regimes," Applied Financial Economics, Taylor & Francis Journals, vol. 21(19), pages 1463-1478.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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