Finding Beta Research Guide

Calculating Beta Using WRDS

If you wish to have more control over how beta is calculated, you can download historical prices of a security and desired index using the CRSP database in WRDS and then run a regression in Excel.

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

Download Data for a Stock

Log In & Select Database
Login and select CRSP Data/ Stock Security file/Daily Stocks

Step 1: Select Data Range and Frequency
Keep Frequency at Daily (for 1 year) or Monthly (for 5 years).

Step 2: Enter or Search for a Company
Make sure Search by is set to TICKER.

Step 3: Select Variables
Select the variables you want returned, such as:

  • Company name,
  • Ticker,
  • Return
    • Holding period return (includes dividends and stock splits)
    • Include Market Return to get index returns        

Step 4: Select Output for .xls

Step 5: Submit Request

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

Step 6: Open the .xls file in Excel

Last Step: Calculate Beta

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.