beta coefficient


Also found in: Dictionary, Thesaurus, Medical, Encyclopedia, Wikipedia.

Beta

A measure of a security's or portfolio's volatility. A beta of 1 means that the security or portfolio is neither more nor less volatile or risky than the wider market. A beta of more than 1 indicates greater volatility and a beta of less than 1 indicates less. Beta is an important component of the Capital Asset Pricing Model, which attempts to use volatility and risk to estimate expected returns.

beta coefficient

a measure of the responsiveness of the expected return on a particular FINANCIAL SECURITY relative to movements in the average expected return on all other securities in the market. The Financial Times all-share index or the Dow-Jones index are usually taken as proxy measurements for general market movements. In the CAPITAL-ASSET PRICING MODEL, the beta coefficient (β) is taken as a measure of the market (or non-diversifiable) RISK of a particular security. The beta coefficient links the return on the security and the average market return. The average market risk of all securities is where β = 1, that is, a 10% increase in market return is reflected as a 10% increase in the return of, say, security A. If the return on, say, security B, is 20%, but there is only a 10% increase in market return, this security has a β= 2 which indicates a risk greater than the market. If security C has a β= 0.5, this indicates a security less risky than the market in general. See EFFICIENT-MARKETS HYPOTHESIS.
References in periodicals archive ?
Only STVA is showing not significant relationship but its proxy in the form of innovation capital is showing significant standardised beta coefficient. Findings clearly stating that intellectual capital constituents can be termed as important ingredient for developing business model of value creation.
As for the beta coefficient presented in Table 4, Part A, it is important in the formation of the rate of return on shares listed on the markets of the Baltic countries.
where [r.sub.i,t] - rate of return of stock i for period from t-1 to t, [[mu].sub.i,t] - mean of rate of return of particular stock i for period from t-1 to t, [r.sub.m,t]--rate of return of the world market portfolio for period from t-1 to [[mu].sub.w] - mean of rate of return of the world market portfolio, [[lambda].sub.i] - regression coefficient or beta coefficient of the stock i, [[epsilon].sub.i,t]--regression residual, n - number of stocks, T - period in days, weeks, months.
The regression beta coefficients indicate that OBS was negatively associated with CRP and WBC (Table 6).
The beta coefficient is adjusted according to the formula: where [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII] is an estimation of the beta coefficient of a debt-free company in the respective industry and [[beta].sub.i] is the startup valuation score in the given area in the interval <-4; 4>.
The beta coefficients showed the following predictive variables to be statistically significant: Nutrition ([beta]= -.090), responsibility for one's health ([beta]= .138), emotional stability ([beta]= -.109), physical activity ([beta]= -.142), self-efficacy ([beta]= .187), perfectionism ([beta]= .127), absorption ([beta]= .297) and satisfaction with life ([beta]= -.173).
Beta coefficient (AY) shows that sex, age, marital status, education and source of income of the respondents has a negative relationship with the funds given to spouses.
The interactivity value had a Beta coefficient 0.313 on assessing SNAs.
The perceived stress with the beta coefficient equal to 0.60 can predict the marital satisfaction of cardiovascular patients negatively and significantly.
Firm's market risk is represented by Beta coefficient (BETA) calculated by the following formula:
The CAPM is an intuitively logical model that attempts to incorporate risk into the calculation of ke via the use of the beta coefficient, which is an accepted way of benchmarking the risk on a security relative to the overall systematic/market risk.
The relative magnitudes of the standardized, or Beta, coefficients indicate which of the independent variable quantitatively has the "most important" impact on the dependent variable; a larger Beta coefficient on a particular variable indicates that variable has a more important impact on changes in per capita household income.