Three concerns are worthy to take in account when conduct Beta estimation:
First. length of the estimation period. Examples:
- Value line and Standard &Poor’s: five years of data
- Bloomberg: 2 years of data
- Pros: Longer estimation, more data
- Cons: Longer estimation are not favorable when firms change risk characteristics over time period.
Second, return interval:
- Intraday basis
- Too frequent basis might cause bias in cases of non-trading.
- Small firms with less liquidity might suffer from downward valuation if too frequent interval is used.
Third, the choice of market index. The beta estimated are generally made based on the market the stocks are traded.
Source: Investment Valuation, Tools and Techniques for Determining the Value of Any Asset, Aswath Damodaran, 2nd Edition