How do I find historical betas for companies or industries?
CRSP via WRDS has betas back to 1962. Go to WRDS and choose ‘CRSP’. Select ‘Stock / Portfolio Assignments’ then ‘Beta Deciles’.
- In ‘Step 1’: Choose a date range.
- In ‘Step 2’: Enter a ticker symbol.
- In ‘Step 3’: Choose beta value ‘BETAV’ and ‘DATE’.
- Submit your query.
In Datastream, getting historical beta values is more complicated but possible. There is a formula that you can use to get a time series of historic beta values: REGB#(LN#(X/LAG#(X,1M)),LN#(Y/LAG#(Y,1M)),60M). This formula is used where you would normally use a datatype. It uses the regression beta function with three parameters:
- The return of the market over one month:
LN#(X/LAG#(X,1M))
- The return of the equity over one month:
LN#(Y/LAG#(Y,1M))
- The time period – number of observations in the regression:
60M
In Bloomberg, type ‘XSTD’ and press the ‘F1 HELP’ key to find the ‘Historical Studies for Multiple Securities’ Excel template. Download and open the Excel file. Click on ‘Settings’, enter the ticker then select ‘Statistics’.
Factiva has company beta dates back five years. Search for the company you want and select ‘Reports > Ratio Comparison Report > View Report > Valuation ratios’: Beta, 5 years).
(VC-214b)
