beta coefficient


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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 ?
Low beta coefficients of the stocks indicate low market integration, possibility of diversification benefits and underestimated emerging country's cost of equity based on the classical CAPM model.
We report average beta coefficients, standard errors, and MSE (squared bias plus variance) across 10,000 simulated datasets.
Table 2 presents the beta coefficients and CIs for the constants and each predictor variable.
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].
If we look at the beta coefficients, they indicate that the following predictor variables were statistically significant: Nutrition ([beta]= -.
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.
Furthermore, the lowest coefficient on the assessment of SNAs as its beta coefficient was 0.
Table 2 shows that we selected two risk measurement indicators from the four risk indicators; namely, DOL and beta coefficient, respectively.
The Beta coefficient on the variable measuring change in the size of the household is the largest for any variable except initial income and the number of employed male family members.
The results of the Fixed Effect suggest that logalpb is significant at 10% level of significance with positive value of beta coefficient.
It is clear that the beta coefficient for Emotional Intelligence in equation 4a (beta=.
The new aspect is that the beta coefficient as important component of the discount factor, which is one of the most significant parameters within the DCF valuation, is discussed and adjusted according to the capital asset pricing model (CAPM).