Simply better market betas around the globe

This paper aims to compare the forecasting and hedging performance of 11 market beta estimators across 53 international stock markets in six geographical regions. The Welch (2022) age-decayed slope-winsorized beta estimator produces the highest R-squares in predicting future realized OLS betas in 45 markets and is always within the top three performers. It also forecasts future realizations of its competitors well and performs the best when hedging market risk exposures in 42 markets. On the practical side, it significantly outperforms commonly available market betas on Bloomberg, Yahoo! Finance and Google Finance. Market participants can greatly improve their beta estimations in both developed and emerging markets with this easy-to-implement slope-winsorized beta estimator.