TheregressionofDisneyreturnsagainsttheS&P 500 returns
is summarized here:
Basedonthisregression,thebetaforDisneyis1.01butthe
standarderrorof0.20suggeststhatthetruebetaforDisney
couldrangefrom0.81to 1.21(subtracting andaddingone
standarderrortobetaestimateof1.01)with67%confidence
andfrom0.61to1.41(subtractingandaddingtwostandard
errorstobetaestimateof1.01)with95%confidence.While
theserangesmayseemlarge,theyarenotunusualformost
U.S. companies. This suggests that we should consider
estimates of betas from regressions with caution.
Mostanalystswhousebetasobtainthemfromanestimation
service;Barra,ValueLine,Standard&Poor’s,Morningstar,
andBloombergaresomeofthemostwidelyusedservices.
Alltheseservicesbeginwithregressionbetasandmakewhat