The Capital Asset Pricing Model (CAPM) The beta of a security with respect to the market portfolio is the measure of risk for that security The conceptual meaning of the “Beta” The “beta” is a measure of the volatility (systematic risk) of a security or a portfolio in comparison to ...
35、te is 6%. The expected return on the stock is: 6 + 1.2(14 6) = 15.6% If you expect 17% return for the stock, the implied alpha is 1.4%,4. The Capital Asset Pricing Model (CAPM),Dr Ekaterina Svetlova,Implications of the CAPM: The expected return of a stock does not depend...
Most stocks have a positive beta, meaning most stocks move in the same direction as the general market. If the beta exceeds 1, then the stock moves more than the market does in the same direction. For instance, if the stock market increases in value by 1%, then a stock with a beta ...
ThebetaofasecuritywithrespecttothemarketportfolioisthemeasureofriskforthatsecurityTheconceptualmeaningofthe“Beta”The“beta”isameasureofthevolatility(systematicrisk)ofasecurityoraportfolioincomparisontothemarketasawholeIfbeta>1,itindicatesthatthesecurity’spricewillbemorevolatilethanthemarketExample:abetaequalsto...
资本资产定价模型CAPMPPT44页.ppt,4. The Capital Asset Pricing Model (CAPM) The beta of a security with respect to the market portfolio is the measure of risk for that security The conceptual meaning of the “Beta” The “beta” is a measure of the volatil
understand the meaning of beta prepare an alpha table and understand the nature of the alpha value explain the problems with CAPM briefly explain the arbitrage pricing model (APM) calculate the portfolio risk of a multi-asset portfolio when there is no correlation ...