Munich Personal RePEc Archive

Splitting up Beta’s change

Suarez, Ronny (2014): Splitting up Beta’s change.

[img]
Preview
PDF
MPRA_paper_58369.pdf

Download (781kB) | Preview

Abstract

In this paper we estimated IBM beta from 2000 to 2013, then using differential equation mathematical formula we split up the annual beta’s change attributed to the volatility market effect, the stock volatility effect, the correlation effect and the jointly effect of these variables.

Logo of the University Library LMU Munich
MPRA is a RePEc service hosted by
the University Library LMU Munich in Germany.