... Beta, a measure of systematic risk of a security¡¯s return, is the only variable in CAPM that differentiates between returns of companies. ... This study reviews some essential issues in estimating Beta, which includes: (a) the effect of different return measures; (b) the effect of using different market index; (c) the effect of varying the length of estimation period; (d) the effect of varying the sampling interval; (e) Distributional assumption and robust estimation approaches; (f) effect of thin trading; (g) beta stability; and (h) seasonality of beta.
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