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How does Bloomberg calculate beta?

I tried manually calculating Bloomberg’s historical beta based on the historical spread of SPY and equity price data, but I couldn’t get the same result. I read somewhere that Bloomberg’s default setting bases beta on two years worth of weekly prices. Couldn’t get it to work. Would I have to control for something based on the values of px_last?

I used $beta = frac{mathbf{Cov}_{SPY, Stock}}{mathbf{Var}_{SPY}}$.

Quantitative Finance Asked by Friedrich on January 8, 2021

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