In most finance text books, you are told that all you need to do to estimate the beta for a stock is to run a regression of returns on the stock against returns on the market index. The slope of the line is, of course, the beta. I have taken one company, GameStop, and estimated its beta against S&P500 . The result of the regression is shown below. If you are analyzing GameStop and were required to use this regression betas, would you? If not, why not? What would you use instead? During the period of the regression, GameStop had incredible volatility but its beta does not seem to reflect it. Explain why.

GME US $ 1 144.79 -2.13 N144.51/144.80N 118X6 At 18:40 d Vol 2,725,045 0 145.70N H 150.50Z L 142.2310 Val 397.107M GME US Equity Relative Index SPX Index 96) Actions 97) Edit - Historical Beta Data Last Price Data Last Price Wkly Linear Beta +/ Non-Param Reg On Percent 05/13/2019 05/30/2021 05/13/2018 05/12/2020 Lag O O Winsorize 2 Std Dev Local 6M YTD YTD 1Y 2Y SY Max Weekly Statistics Transformations Legend + Track Annotate Zoom Select a Copy Y = GAMESTOP CORP-CLASS A x = S&P 500 INDEX 400 Y = -0.796 X + 8.548 Linear Beta Range 1 350 300 Raw BETA -0.796 2504 Adjusted BETA -0.198 ALPHA (Intercept) 8.548 200 1504 R^2 (Correlation*2) 0.003 100 R (Correlation) -0.056 50 Std Dev of Error 47.528 Std Error of ALPHA 4.693 0. Std Error of BETA 1.405 -504 t-Test 0.567 Significance 0.572 Last T-Value -0.454 -16 -12 -10 -2 10 12 Last P-Value 0.325 SPX Index-Percent Number of Points 104 Select Last Spread 3918.25 Last Ratio 0.036 -14 g 6 Weekly: 05/13/19 - 05/24/21 GHE US Equity 144.79 Kindes 4063.04