Methodology
Learn about the methodology used to estimate Twin Betas for companies and sectors. Understand the data sources, calculations, and assumptions behind our analysis.
Methodology
Our methodology involves estimating the Beta for all days and naming the Beta as βAll, and on days when the company return Rti is up (Rti > 0), hence naming it as βUP, and when it is down, naming it as βDown. We pool all daily return stocks and employ the following 3 CAPM models:
While Kahneman and Tversky's (1979) Prospect Theory discusses gains and losses at a nominal level, a practical illustration of gains and losses in a real context can be achieved by comparing individual stock performance relative to overall market performance—aligning with the concept of "keeping up with the Joneses."