Hi i am a newbie trying to get into stock trading, I am self taught so there is a lot I don't know. So my question is: Why does betas differ when using 60 months of data compared to 30 months of data, when using regression to estimate betas? Thank you for your assistance
Because Betas are calculated in part by comparing the return of the stock (Re) against the return of the overall market (Rm). And the (Re) and (Rm) are calculated on the basis of a period of time. Change the time frame, you change the Returns. Change the Returns and you change the Beta.
Beta calculation depends upon the risk-free rate, the stock's rate of return, and the market's rate of return (all figures usually expressed as percentages). Since all these ingredients change from time to time (i.e. they all are time-dependent), the beta of a particular stock (or a portfolio) changes from time to time.