Suarez, Ronny (2014): Splitting up Beta’s change.
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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.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Splitting up Beta’s change |
| Language: | English |
| Keywords: | beta, CAPM, volatility |
| Subjects: | C - Mathematical and Quantitative Methods > C0 - General > C00 - General F - International Economics > F0 - General > F00 - General |
| Item ID: | 58369 |
| Depositing User: | Mr Ronny Suarez |
| Date Deposited: | 09 Sep 2014 15:21 |
| Last Modified: | 27 Sep 2019 16:35 |
| References: | Coppedge, W., Lamb R., McCague J. (2012). Beta Boot Camp: Teaching Students to Properly Apply Systematic Risk. International Journal of Business and Social Science Vol. 3 No. 7. Damodaran, A. (1999). Estimating Risk Parameters. New York University - Stern School of Business. Ramachandran, A. (2012). A discussion of Beta – Its limitations and Usefulness. Alpha Advisor 4Q. |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/58369 |
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