Why do stock betas differ so much from site to site - pg on yahoo 0.91 beta, msn money and reuters = 0.25?

Answer 1

Beta is the partial derivative of the change in the price of a stock given the change in the price of a reference item.

It strongly matters what your reference item is. For example, if it is the S&P 500 over twelve months you will get a very different beta than the Russell 5000 over five years.

They are not comparing to the same reference point and/or the same frame of time.

IT IS VERY IMPORTANT to understand it is a PARTIAL derivative. Partial derivatives are a poor instrument to use where discontinuities are present, as there are in the market. Further, as a partial derivative, it hides as much information as it provides.

Answer 2

The first thing a serious investor should realized is that some of the data that is out there on reputable web sites is simply incorrect. That is why it is good to check multiple sources and even calculate important stats yourself.

The more likely correct answer to your question is that different analysts use different definitions for the same stat. In this case there might be US versus Europe difference in the definition, since Reuters is Euro based.

In a definition of beta, one needs to specify the total time interval of the data being analyzed and the sampling time. E.g. 1 minute, 15 minutes, 1 day intervals. There may be other specifications as well. You can try to look up the definition in each case, but I know from experience that this can be difficult to accomplish.

Answer 3

Beta is calculated by regressing a stream of data (stock price returns) against another stream of data (an index).

Differences can arise when sites use different indexes or different time periods. For example, if one site uses daily stock price returns for 12 months, while another uses monthy stock returns for 5 years, etc. Hope that helps!