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Definition of Beta coefficient
A measurement of the extent to which the returns on a given stock move with stock market.
Security market line
Line representing the relationship between expected return and market risk.
Security Market Line
A graph illustrating the equilibrium relationship between the
The part of security's risk that cannot be eliminated by diversification. It is measured by the beta coefficient.
Beta (Mutual Funds)
The measure of a fund's or stocks risk in relation to the market. A beta of 0.7 means
Beta equation (Mutual Funds)
The beta of a fund is determined as follows:
Beta equation (Stocks)
The beta of a stock is determined as follows:
Coefficient of determination
A measure of the goodness of fit of the relationship between the dependent and
A standardized statistical measure of the dependence of two random variables,
Covariance of a national economy's rate of return and the rate of return the world economy
Expected return-beta relationship
Implication of the CAPM that security risk premiums will be
Foreign market beta
A measure of foreign market risk that is derived from the capital asset pricing model.
The product of a statistical model to predict the fundamental risk of a security using not
Information Coefficient (IC)
The correlation between predicted and actual stock returns, sometimes used to
The beta of a leveraged required return; that is, the beta as adjusted for the degree of
The beta of an unleveraged required return (i.e. no debt) on an investment when the
A portfolio constructed to represent the risk-free asset, that is, having a beta of zero.
A measure of the riskiness of a specific security compared to the
A measure of the tendency of two variables to change values
coefficient of correlation
a measure of dispersion that indicates the degree of relative association existing between two variables
coefficient of determination
a measure of dispersion that
coefficient of variation
a measure of risk used when the standard deviations for multiple projects are approximately
a number (prefaced as a multiplier
The price volatility of a financial instrument relative to the price
A statistic in which the covariance is scaled to a
Sensitivity of a stock’s return to the return on the market
Risk of a firm measured from the standpoint of an investor who holds a highly diversified portfolio.
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