Sahadev, KeshWard, MichaelMuller, Chris J.2018-10-082018-10-082018-02Sahadev, Kesh and Ward, Mike and Muller, Chris, A Volume-Weighted-Average-Price (VWAP) Method for Estimating Beta in the Context of Reference-Day Risk. (February 14, 2018). Available at SSRN: https://ssrn.com/abstract=3123725 or http://dx.doi.org/10.2139/ssrn.3123725.1556-5068110.2139/ssrn.3123725http://hdl.handle.net/2263/66788The ability to accurately estimate systematic risk (or beta) in the presence of reference-day risk 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 when reference-day risk is exhibited in share betas. 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.enSSRN is an open-access online preprint communityCapital asset pricing model (CAPM)Volume-weighted-average-price (VWAP)BetaReference-day riskSystematic riskPreprint Article