Sahadev, KeshavWard, MichaelMuller, Chris J.2019-05-062018Keshav Sahadev, Michael Ward & Chris Muller (2018) The impact of reference-day risk on beta estimation and a proposed solution, Investment Analysts Journal, 47:4, 327-342, DOI: 10.1080/10293523.2018.1497126.1029-3523 (print)2077-0227 (online)10.1080/10293523.2018.1497126http://hdl.handle.net/2263/69050The ability to accurately estimate systematic risk (or beta) when reference-day risk is considered, is an ineluctable requirement for all applications of the capital asset pricing model (CAPM). This research documents evidence of reference-day risk for shares on the Johannesburg All Share Index. In response to the need for greater accuracy when estimating systematic risk, this paper contributes a volume-weighted-average-price (VWAP) method for estimating beta which may be employed when reference-day risk is considered. Furthermore, this research applies a graphical time-series approach to test the underlying risk-reward tenet postulated by the CAPM. Using beta as a measure of systematic risk, this research finds that the CAPM appears to imperfectly specify the risk-reward trade-off.en© 2018 Investment Analysts Society of South Africa. This is an electronic version of an article published in Investment Analysts Journal, vol. 47, no. 4, pp. 327-342, 2018. doi : 10.1080/10293523.2018.1497126. Investment Analysts Journal is available online at : http://www.tandfonline.com/loi/riaj20.Capital asset pricing model (CAPM)BetaReference-day riskVolume-weighted-average-price (VWAP)Systematic riskEquilibriumMarketSelectionReturnsSharesPostprint Article