Problems of determining reliable beta values of Russian companies: analysis of the significance of the initial data period

Abstract

The subject of this work is the calculation of the beta (beta coefficient, systemic risk coefficient) of Russian companies to determine the price of their capital using the Capital Assets Pricing Model (CAPM). The purpose is to determine the influence of the duration of the period for which the initial data on the stock market are taken on the reliability of the beta coefficient value. The paper uses general scientific methods, financial methods (CAPM) and methods of mathematical statistics (regression analysis, the criteria of Fisher, Pearson, Student and Shapiro-Wilk). The calculations are based on information on the stock market provided by the Moscow Exchange and Yahoo Finance. The python language was used to collect information, Excel spreadsheets and its standard functions were used for processing it, as well as the STATISTICA program. As a result, the influence of the initial data period on the statistical characteristics of the beta coefficient is determined. The calculations were performed for the periods of 3 months, 1 year, 2 years and 5 years. The best results were obtained for a 2-year period. There are other factors that can affect the reliability of the beta coefficient. The authors continue their research to provide the economy with information about reliable values of beta coefficients of Russian companies.