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I've started thinking about this, too. My gedanken conclusion turned out to be too simple once I found what I was after: http://www.investment-and-finance.net/derivatives/o/option-beta.html, which I've confirmed in Black & Scholes (1973) p10 (eq 15). In short: $$\beta_{\text{option}} = \frac{S\cdot\Delta}{O}{\beta_S}$$ where $S$ is the underlying ...

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beta_A = correlation_A_Index * (stdd_A / stdd_Index ) The difference you see is due to correlation. The correlation between A and the index is lower than B and the index, and that's why you're seeing a lower beta. The moral of the story is that risk is subjective, and in fact you need to understand how your portfolio is correlated with these stocks in ...

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Let me give you an example to show how this can happen. Suppose you invest 0.50 in a coin flip that will pay 1 on heads and 0 on tails a month later. The monthly variance will be .5*(1-.5)^2+.5*(0-.5)^2=.5 so the standard deviation will be .25. This is significantly higher standard deviation than a market index or almost all stocks. So by one measure this is ...

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Unlevered Beta (Beta asset) = Levered Beta / 1+(1-tax) Debt/Equity Similarly , Levered Beta (Beta equity) = Unlevered Beta * 1+ (1-tax) Debt /Equity

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