A security’s beta may vary substantially depending upon whether it is estimated on the basis of daily, weekly or monthly returns. For instance, for the four-year period January 1970 to December 1973, Eastman Kodak had a beta of 1.25 based on daily returns, but a beta of 0.93 based on monthly returns.

In general, the betas of securities with a smaller market value than the average of all securities outstanding (the market) will decrease as the return interval is shortened, whereas the betas of securities with a large market value relative to the market will increase. This suggests that betas measured over return intervals of arbitrary length will tend to be biased. In particular, securities with relatively small market values may appear to be less risky than they truly are, whereas securities with relatively large market values may appear to be more risky than they truly are.