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.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
