This article presents an analysis of time dependent factors that influence the stability of beta in the ETF market. The results indicate that the calculated betas for ETFs are significantly dependent on the choice of time interval used in their calculation. In addition, daily and weekly return...

The traditional CAPM beta is almost exclusively calculated over a return period that spans a window length of 60-months, at one-month return frequencies. It is one of the most utilized models in the asset management industry to assess systematic risk. Yet there is limited evidence to suggest...

This article documents significant dispersion in the beta estimates of exchange-traded funds as available on some leading financial websites. To the best of the authors' knowledge, this is the first systematic study of the dispersion of betas as seen on major finance websites. Almost 40 million...