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Splitting up Beta’s change

Author

Listed:
  • Suarez, Ronny

Abstract

In this paper we estimated IBM beta from 2000 to 2013, then using differential equation mathematical formula we split up the annual beta’s change attributed to the volatility market effect, the stock volatility effect, the correlation effect and the jointly effect of these variables.

Suggested Citation

  • Suarez, Ronny, 2014. "Splitting up Beta’s change," MPRA Paper 58369, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:58369
    as

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    File URL: https://mpra.ub.uni-muenchen.de/58369/3/MPRA_paper_58369.pdf
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    References listed on IDEAS

    as
    1. Aswath Damodaran, 1999. "Estimating Risk Parameters," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-019, New York University, Leonard N. Stern School of Business-.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    beta; CAPM; volatility;
    All these keywords.

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • F00 - International Economics - - General - - - General

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