TY - JOUR T1 - ETF Betas JF - ETFs and Indexing SP - 96 LP - 103 VL - 2007 IS - 1 AU - Pankaj Agrrawal AU - John M. Clark Y1 - 2007/09/21 UR - http://guides.pm-research.com/content/2007/1/96.abstract N2 - This article presents an analysis of time dependent factors that influence the stability of beta in the ETF market. The results indicate that the calculated betas for ETFs are significantly dependent on the choice of time interval used in their calculation. In addition, daily and weekly return frequencies are analyzed, and the results indicate that return frequency does not significantly affect the beta estimate, as long as the estimation intervals are similar or overlapping. Due to the observed differences in beta calculated using a shorter estimation window relative to those using a longer estimation window, it is recommended that the duration of the interval estimation window match the expected investment time horizon. These results have a number of implications for investors, portfolio managers, and hedge fund managers. Additionally, the study provides market betas for the 38 most active ETFs in the U.S. equity markets over different estimation intervals and return frequencies. ER -