Which of the following statements is FALSE?
A)There may be reasons to exclude certain historical data as anomalous when estimating beta.
B)Many practitioners use adjusted betas,which are calculated by averaging the estimated beta with 1.0.
C)The beta estimated from linear regression can be very sensitive to outliers,which are returns of unusually small magnitude.
D)If we use very old data when estimating beta,the data may be unrepresentative of the current market risk of the security.

Question

Quizplus · Accepted Answer

Outliers that affect beta estimates are typically returns of unusually large magnitude, not small magnitude.

Which of the Following Statements Is FALSE