The Butler Pinkerton Calculator: An Update - BVMarketData

Other Findings (continued):
• Statistical errors with beta (instability of beta) (continued)…
– Total beta (TCOE-side of Calculator) is relatively immune
– BPC uses OLS beta to keep the following intact:
• Other commercial sources use OLS regression
– Recommendations: Calculations are very quick and easy
• Look at all 5 days of the trading week
• Look at different look-back periods
• T-stat greater than 80% (or whatever you so choose)
• Select an appropriate R-square as a hurdle
• Question: Maybe a low R-square captures exactly what it should
be capturing – a stock with low systematic risk?
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