WRDS

Wharton Research Database Service

Calculating Beta

To calculate beta you will need to:

  • Download a company's historical stock price and desired index time series using the CRSP database in WRDS (Wharton Research Data Services)
  • Run a regression in Excel

Calculating a beta involves more work than simply looking up beta, but allows you to eliminate any "black box" calculation issues you may be worried about.

For more assistance view online tutorials:

Company Historical Stock Price Data
Market Returns
Beta Data Finder

Download Return Data for Stock and S&P Composite Index

Step 1:  Log into WRDS and select the CRSP Database (Center for Research in Security Prices). Next select Daily Stocks from the links on the left.

Step 2: Select Data range and frequency.  

Step 3: Make sure "Search by" is set to TICKER. Next type in company ticker.

Step 4: Select the variables you want returned such as:  Company Name, Ticker, Period Return.

Step 5: ALSO select Market Index return such as S&P Composite to match with your stock return..

Step 5: Select output and submit request.  Another window will open to show your request progress and once complete you can click on the .XLS file link to open.

Step 6: Select Submit Request. Another window will open while your request is processed. Once complete, you can click on the link to open the .csv file

 

Last Step

Once you have downloaded returns data for both the stock and the index into Excel, you are ready to calculate beta.

Use Excel to run a regression of the stock returns (dependent variable, y-axis) against the index returns (independent variable, x-axis). the coefficient of the index return is the beta of the stock.