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Beta |
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Definition of BetaBetaA measure of the riskiness of a specific security compared to the betaSensitivity of a stock’s return to the return on the market BetaThe price volatility of a financial instrument relative to the price
Related Terms:Beta coefficientA measurement of the extent to which the returns on a given stock move with stock market. 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: Beta (Mutual Funds)The measure of a fund's or stocks risk in relation to the market. A beta of 0.7 means Beta riskRisk of a firm measured from the standpoint of an investor who holds a highly diversified portfolio. Country betaCovariance of a national economy's rate of return and the rate of return the world economy Expected return-beta relationshipImplication of the CAPM that security risk premiums will be Foreign market betaA measure of foreign market risk that is derived from the capital asset pricing model. Fundamental betaThe product of a statistical model to predict the fundamental risk of a security using not Leveraged betaThe beta of a leveraged required return; that is, the beta as adjusted for the degree of Unleveraged betaThe beta of an unleveraged required return (i.e. no debt) on an investment when the Zero-beta portfolioA portfolio constructed to represent the risk-free asset, that is, having a beta of zero. AlphaA measure of selection risk (also known as residual risk) of a mutual fund in relation to the market. A Alpha equationThe alpha of a fund is determined as follows: Capital Asset Pricing Model (CAPM)A model for estimating equilibrium rates of return and values of capital asset pricing model (CAPM)Theory of the relationship between risk and return which states that the expected risk CARs (cumulative abnormal returns)a measure used in academic finance articles to measure the excess returns an investor would have received over a particular time period if he or she were invested in a particular stock. Characteristic lineThe market model applied to a single security. The slope of the line is a security's beta. Contract monthThe month in which futures contracts may be satisfied by making or accepting a delivery. Expected returnThe return expected on a risky asset based on a probability distribution for the possible rates Factor portfolioA well-diversified portfolio constructed to have a beta of 1.0 on one factor and a beta of First-pass regressionA time series regression to estimate the betas of securities portfolios. Fundamental descriptorsIn the model for calculating fundamental beta, ratios in risk indexes other than Investment product line (IPML)The line of required returns for investment projects as a function of beta Market modelThis relationship is sometimes called the single-index model. The market model says that the Market RiskThe part of security's risk that cannot be eliminated by diversification. It is measured by the beta coefficient. Minimum price fluctuationSmallest increment of price movement possible in trading a given contract. Also Risk indexesCategories of risk used to calculate fundamental beta, including (1) market variability, (2) Second pass regressionA cross-sectional regression of portfolio returns on betas. The estimated slope is the Security market lineLine representing the relationship between expected return and market risk. Security Market LineA graph illustrating the equilibrium relationship between the security market lineRelationship between expected return and beta. Treynor IndexA measure of the excess return per unit of risk, where excess return is defined as the Two-factor modelBlack's zero-beta version of the capital asset pricing model.
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