Alphas and Betas

This guide was prepared by Harvard Business School librarians for the HBS community. These resources have been selected as excellent starting points for finding current and historical alpha and beta stock information. For further research assistance, please contact Baker Library.

Alpha

Alpha (Coefficient) Definition: The calculation of a (alpha in Greek) in the formula for the slope of a line: a + bx = y. If b (beta in Greek) is set at zero, thereby eliminating market price volatility, alpha will measure the investment return for a particular security when compared to the baseline of the S&P Index. Alpha measurements that are positive (e.g., plus 10) mean that the particular stock will yield dividend returns 10 percent greater than the average of the S&P. An alpha of zero is equal to the S&P dividend return; and alpha of minus 5 is 5 percent lower that the S&P. Thus, alpha measures investment return and beta measures price volatility of individual stocks versus a commonly accepted baseline.
(Source: The Complete Words of Wall Street)

Current & Historical Alphas

O'Neil Database
William O'Neil & Co., published weekly
Ref. HG4916 .O45
Quarterly data. Baker keeps last quarter annually back to 1983.

Worldscope
Disclosure Inc., published quarterly
(HBS campus only)
CD-ROM of basic financial information on public companies worldwide. See the latest annual international coverage under Stock Information.

Mutual Fund Alphas & Betas

Morningstar Mutual Funds
Morningstar, Inc., published biweekly
Ref. HG4530 .M85
Updated every 20 weeks. Also available on CD-ROM.

Investment Companies Yearbook
CDA/Wiesenberger, published annually
For historical information only.

Beta

Beta Definition: A measure of a stock's sensitivity to the movement of the general market (S&P 500), in either direction over the last five years. A beta of 1.6 means that over the past five years, the stock has moved 60 percent greater than the S&P 500, both up and down.
(Source: Dictionary of Investing)

Value Line Beta Definition: The VL beta is derived from a regression analysis between weekly percent changes in the price of a stock and weekly percent changes in the New York Stock Exchange Composite Index over a period of five years. The Betas are adjusted for their long-term tendency to converge toward 1.00.
(Source: How to Use the Value Line Investment Survey)

Current Betas

Bloomberg Financial Markets
(Dedicated library workstation)
Published daily, weekly, monthly, quarterly, annually
Type the ticker symbol (IBM, for example) then click on equity, type "beta," then click on Go.

Tip: For historical average, change date range. To change default index, change mnemonic for index. See Bloomberg Help Sheet for additional instruction.

Capital IQ
Data on public and private companies.
From the company summary page, select the "Tearsheet" link in the left side navigation bar.

Compustat Research Insight
(Dedicated library workstation)
Five years of monthly data. Equity research, quantitative analysis, money management, competitive analysis, merger and acquisition analysis, and credit analysis.

OneSource Global Business Browser
A range of public and private company and industry information.
From the company profile page, select the "Ratio Comparisons" link in the navigation bar to view company, industry, and sector betas.

Tip: To screen by beta, from the "Public Companies" link, select the "Stock Information" option.

O'Neil Database
William O'Neil & Co., published weekly
Ref. HG4916 .O45
Quarterly data. Baker keeps last quarter annually back to 1983.

S&P Stock Reports
Standard & Poor's, published monthly
Ref. HG4571 .S72
Financial data, including current beta on more than 10,000 common and preferred stock issues.

Value Line Investment Survey
Value Line, published weekly
Ref. HG4501 .V265
Backfile on microfilm back to 1969. Also available online (HBS campus only) .

Historical Betas

O'Neil Database
William O'Neil & Co., published weekly
Ref. HG4916 .O45
Quarterly data. Baker keeps last quarter annually back to 1983.

S&P Stock Reports
Standard & Poor's, published monthly
Ref. HG4571 .S72
Historical data back to 1999.

Value Line Investment Survey
Value Line, published weekly
Ref. HG4501 .V265
Backfile on microfilm back to 1969. Also available online.

Industry Betas

Cost of Capital
Ibbottson Associates, published annually
Ref. HG4028 .B2 C687
Provides industry ratios by SIC code. Also includes market capitalization, margins, equity valuation, and cost of capital by SIC.