Baker, ChristopherRajaratnam, KanshukanFlint, Emlyn James2017-03-172016-06Baker, C, Rajaratnam, K & Flint, EJ 2016, 'Beta estimates of shares on the JSE Top 40 in the context of reference-day risk', Environment Systems and Decisions, vol. 36, no. 2, pp. 126-141.2194-5403 (print)2194-5411 (online)10.1007/s10669-016-9595-4http://hdl.handle.net/2263/59463A topic of interest in the finance world is measuring systematic risk. Accurately measuring the systematic risk component - or Beta - of an asset or portfolio is important in many financial applications. In this work, we consider the effciency of a range of Beta estimation methods commonly used in practice from a reference-day risk perspective. We show that, when using the industry standard data sample of fi ve years of monthly returns, the choice of reference- day used to calculate underlying returns has a signifi cant impact on all of the Beta estimation methods considered. Driven by this finding, we propose and test an alternative non-parametric bootstrap approach for calculating Beta estimates which is unaffected by reference-day risk. Our primary goal is to determine a point-estimate of Beta, independent of reference-day. Keywords: reference-day risk, bootstrap, systematic risk, Beta.en© Springer Science+Business Media New York 2016. The original publication is available at : http://link.springer.com/journal/10669.Reference-day riskBootstrapSystematic riskBetaPostprint Article