I am trying to replicate the beta value that yahoo calculates but I am getting different results. According to Yahoo, its beta is calculated using 5 year returns against the SP500: yahoo beta
I assume that daily values are used though it is not stated. I downloaded historical prices for MSFT from Dec 2009 to Dec 2014 and replicated this calculation, using: $$\beta = cov(MSFT, SP500)/var(SP500)$$ I obtain a result of about 0.89 whereas Yahoo quotes a beta of 0.69.
Using a 3 year horizon, I am getting 0.96 which is very close to the Beta quoted by Google (0.98). So, I think Google uses something like a 3 year horizon (though I don't know the exact dates) but Yahoo is completely off. Does anyone knows how it is calculated?