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标题: Beta Equation [打印本页]

作者: whaler 时间: 2011-7-13 16:07 标题: Beta Equation

Can somebody please confirm if I have the equation right or wrong. I seem to think I may have it slightly wrong. Thanks

(covariance X st dev of asset) /st dev of market

作者: thisisbrianly 时间: 2011-7-13 16:07

svgleeson Wrote:
-------------------------------------------------------
> Can somebody please confirm if I have the equation
> right or wrong. I seem to think I may have it
> slightly wrong. Thanks
>
>
> (covariance X st dev of asset) /st dev of market

Covariance/variance of market

From this, you can derive: Correlation x sd of stock/sd of market

Remember, beta has no units.
Covariance has same units as variance. Correlation has no units.
So if you have covariance in numerator, you need variance in denominator.

Edited 1 time(s). Last edit at Sunday, April 24, 2011 at 08:59AM by anish.

作者: farrukhsadiq 时间: 2011-7-13 16:07

you can also get it frim these two equatiosn:

1) beta = covariance (asset, market)/variance(market)

and

2) Covariance (asset, market) = correlation (asset, market) * std deviatio (asset) * std Deviation(market)

then substitute (2) into the numerator of equation (1).

The standard deviations of the market in numerator ant denominator cancel, and you're left with

beta = correlation x (std. Deviation of asset/ std deviation of market).

as intuition, the beta depends on the correlation between the asset and the market and on how volatile the asset is relative to the market (i.e. the ratio of the std. deviations).

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