Beta values from Datastream
There is a datatype BETA available in Thomson Reuters Datastream but often this is not what researchers are looking for when they are looking for “company betas”.
The Datastream datatype BETA is static – only the current value is available – and it is also adjusts the raw beta value to make it a forecast beta.
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 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
The screenshot below shows the historic beta values for the June 2004 FTSE 100 constituents yearly from 31 December 2000 to 31 December 2013. The market return is the FTSE All Share – LN#(FTALLSH/LAG#(FTALLSH,1M). The equity return is LN#(X/LAG#(X,1M) – X will be each of the list constituents in turn, and the time period is 60 months.
The results in the screenshot come from two entries in a Datastream request table
- Static request for constituent list LFTSE1000604 and datatypes NAME,ESTAT,TIME,WC09802,BETA
- Time series request for LFTSE1000604 and the beta formula REGB#(LN#(FTALLSH/LAG#(FTALLSH,1M)),LN#(X/LAG#(X,1M)),60M)
The results show that care is required for dead companies. The formula continues to generate results long after the last valid price data (shown by TIME) so for dead companies the beta returned is always zero once the company has been dead 5 years (60 months).
The Worldscope beta datatype (WC09802) just gives the latest value (see Worldscope manual for details). If you use this in a time series request then you just get the same value repeated. In contrast the static datatype BETA gives an error if used in a time series request.
You can use the local index datatype (LI) rather than explicitly choosing the index in the beta formula.
This will give the same values as displayed above as X(LI) is FTALLSH for all these LSE listed shares.
Beta values on Thomson ONE.com (April 2014)
Beta values for companies (March 2010)