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Estimating a Company's Beta : An Application of the Capital Asset Pricing Model to Measure Different Types of Risks
[Estimation du bêta d'une entreprise : Une application du modèle d'évaluation des actifs financiers pour mesurer différents types de risques]

Author

Listed:
  • Issa Kachaou

    (UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12, UPEC FSEG - Faculté de sciences Economiques et de Gestion - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12)

Abstract

This work applies the Capital Asset Pricing Model (CAPM) to estimate the beta of NVIDIA stock, using the NASDAQ index as a benchmark. The objective is to differentiate between systematic and idiosyncratic risks by running a linear regression on log-differenced daily returns. The study finds a beta significantly greater than 1, indicating high sensitivity to market movements. It also emphasizes the importance of reassessing beta over time as market conditions and investor behavior change. This presentation highlights both the usefulness of the CAPM in risk analysis and its theoretical and empirical limitations.

Suggested Citation

  • Issa Kachaou, 2025. "Estimating a Company's Beta : An Application of the Capital Asset Pricing Model to Measure Different Types of Risks [Estimation du bêta d'une entreprise : Une application du modèle d'évaluation des," Post-Print hal-05053311, HAL.
    • Handle: RePEc:hal:journl:hal-05053311
    Note: View the original document on HAL open archive server: https://hal.science/hal-05053311v1
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    References listed on IDEAS

    as
    1. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    2. Eugene F. Fama & Kenneth R. French, 2004. "The Capital Asset Pricing Model: Theory and Evidence," Journal of Economic Perspectives, American Economic Association, vol. 18(3), pages 25-46, Summer.
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