Thank you for sharing practical aspects of the subject. More power to you. I do have some questions though. Shouldn't beta be also adjusted for mean reversion drift? Are dividend returns also supposed to be factored in? If so, how can dividends be factored into the logarithmic return equation?
Yes, there are several adjustments one can make to beta; mean reversion, thin trading etc. In my view, these just add "smoke and mirrors...". Dividends should also be factored into the returns.
Thank you for sharing practical aspects of the subject. More power to you.
I do have some questions though.
Shouldn't beta be also adjusted for mean reversion drift?
Are dividend returns also supposed to be factored in?
If so, how can dividends be factored into the logarithmic return equation?
Yes, there are several adjustments one can make to beta; mean reversion, thin trading etc. In my view, these just add "smoke and mirrors...".
Dividends should also be factored into the returns.