The beta tag has no wiki summary.
0
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1answer
108 views
How to calculate unlevered beta
I have derived a firm's cost of equity using the WACC formula (see here), which means that the cost of equity has factored in the firms' debt (i.e. levered beta) and now I need to calculate the firm's ...
-1
votes
0answers
76 views
How to Calculate Cost of Equity using WACC [closed]
How can I calculate the Cost of Equity for a company when I am not given the beta (or enough information to calculate beta) for the company, but I am given the WACC.
Question Facts
The usual ...
1
vote
3answers
394 views
Annualized Covariance
I have two time series. One with monthly returns on an asset and one with monthly returns on a benchmark index. I have calculated the covariance using the ...
1
vote
1answer
165 views
Why does $\hat{\epsilon}'\hat{\epsilon}$ of a factor model measure risk?
$\hat{\epsilon}'\hat{\epsilon}$ from the market model: $R_{it} - \hat{\alpha} - \hat{\beta}R_{mt} = \hat{\epsilon}$, or from a factor model such as the Fama-French 3 factor model, is often used in the ...
2
votes
1answer
163 views
Average beta of index consitutents w.r.t. the index is 0.60
I have 1 year time series data of 300 constituents of the Australian All Ordinaries index (which is composed of 491 firms). The missing firms are mostly smaller firms.
I run the market model $R_{it} ...
2
votes
1answer
217 views
Unsystematic and systematic risk of a portfolio
I have 8 country stock indexes and 1 world stock index. I do not actually have time series data but I'm given the following data:
$\mu$, the vector of expected future returns for all 8 country ...
1
vote
1answer
626 views
Calculating portfolio allocation beta with different asset classes?
I'd like to calculate portfolio allocation beta on a portfolio that has different asset classes. The portfolio may be made up of:
...
6
votes
3answers
347 views
How to account for jumps in intraday data when calculating beta?
I am calculating betas on intraday trade data at 15-minute intervals. For simplicity sake, let's assume I am modeling
\begin{equation}
Y = \beta * X + c
\end{equation}
where $Y$ is the return of XLF ...
7
votes
1answer
995 views
Why is the first principal component a proxy for the market portfolio, and what other proxies exist?
Let's say that I have a universe of stocks from a certain sector. I want to compute the market portfolio of this sector. Beta is the covariance between each stock and the market. But how do you ...
6
votes
1answer
939 views
How does Kalman filtering of beta in pairs trading model work in R?
Could anyone show how this could be done in R? The dlm package seems to be a good start, but I can't really find any good examples to learn from.
Currently I have ...
8
votes
1answer
1k views
Which approach to estimating fundamental factor models is better, cross-sectional (unobservable) factors or time-series (observable) factors?
There are many approaches to estimating fundamental factor equity models. I would like to focus on two traditional methods:
The time-series regression approach of Fama and French. Factors are ...
6
votes
2answers
169 views
How well does CAPM beta track the risk of a particular market relative to world markets?
Can the CAPM beta of emerging markets be less than the beta of the developed markets?
As part of my research, I run regressions using market indices. I estimate the beta using a regression of MSCI ...
4
votes
4answers
421 views
Given two portfolios with identical correlation matrices, which one will have a better risk/reward ratio?
I have one portfolio with high beta stocks, and one with low beta stocks. Is it better to have higher expected return with high volatility, or medium expected return with medium volatility? (All from ...
13
votes
4answers
643 views
Approximately what proportion of a stock’s volatility is explained by market movement?
Assume we decompose the daily (log) returns of a stock as beta times market movement plus an idiosyncratic part. If this is done ex-ante, what proportion of the variance is explained by the market ...
12
votes
5answers
908 views
is beta of a portfolio always meaningful?
Consider the following strategies:
a stat arb strategy with no overnight exposure, but significant market exposure intraday.
a market timing model which is always long or short the market.
etc
is ...
