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I want to calculate annual excess returns on portfolios using monthly (total) returns for a CAPM (for the assets in the portfolio as well as for the benchmark), in order to have more information on the correlations, more precise betas.

Is it standard practice to adjust (slightly) for shorter months having somewhat less information on the correlations? Shall I weight by the number of days or only trading days before return dates?

Full disclosure: This breaks down my longer question into specifics. Please bear with me. From: annual excess returns from CAPM on monthly total returns

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The question seems to be asking about what is "standard practice", which is open-ended and subjective. –  kristine Jul 19 '13 at 5:16
    
@kristine "Standard practice" is not subjective. We routinely give advice about how to handle corporate actions, cleanse data, etc. –  chrisaycock Jul 19 '13 at 16:22
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Normalize for trading days if possible.

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