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Understanding Beta in the Capital Asset Pricing Model: Key Concepts and Estimation Techniques

In this video, we explore the essence of beta within the Capital Asset Pricing Model (CAPM). The script covers the importance of beta as a measure of risk, how it is calculated through linear regression, and standard practices for estimating beta using historical data. The discussion includes the choice of time intervals, the frequency of data, and the selection of an appropriate market portfolio, emphasizing a globally diversified portfolio like the Morgan Stanley Capital International World Portfolio as the preferred benchmark.

00:00 Introduction to Beta
01:20 Understanding Beta Calculation
01:57 Regression and Beta Estimation
05:00 Monthly vs Daily Data
07:52 Adjusting for Infrequent Trading
10:14 Choosing the Right Market Portfolio
11:14 Global Perspective on Beta
12:43 Implementing the CAPM