Beta impact on valuation

Part 4 concludes the series, which was focused on beta estimation. Part 4 sums up how different decisions and market conditions impact beta estimation, which can have an importat impact on the estimated value of a company or asset.

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Illiquid markets and thin-trading effect on beta estimates

Markets of Southeast Europe are significantly more illiquid when compared to the markets of West Europe and USA. This illiquidity can have an important impact on the estimated beta. In Part 3 an impact of illiquid markets on beta is analyzed.

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Impact of estimation period and return interval on estimated beta

In Part 2 focus will be on three factors that can have a significant impact on the estimated beta coefficient. First is the length of the estimation period, second is the return interval and finally the proxy used for market portfolio.

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Understanding beta

The betas serve as a risk measure in number of risk models in finance. Beta coefficient is determined by several factors: the variability of asset returns, the variability of market returns and the correlation between the two returns. In Part 1 of four article series factors that impact beta are discussed.

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