التفاصيل البيبلوغرافية
| العنوان: |
Trading volume and beta stability. |
| المؤلفون: |
Carpenter, Michael D., Upton, David E. |
| المصدر: |
Journal of Portfolio Management. Winter81, Vol. 7 Issue 2, p60-64. 5p. |
| مصطلحات موضوعية: |
*INVESTMENTS, *BETA (Finance), *RISK assessment, *SECURITIES, *CAPITAL assets pricing model, *PORTFOLIO management (Investments) |
| مستخلص: |
The article discusses beta as a measure of risk for portfolios of securities and investments. Since the rise to popularity of the Capital Asset Pricing Model, the systematic, or non-diversifiable, component of return variation has received primary attention as the appropriate risk measure. This component is expressed in terms of the sensitivity to the market return, or beta risk. Although information as to the beta of various assets, estimated from historical data, is available from a number of investor research services, empirical investigations of the betas of individual securities indicate that this risk measure is unstable. The article suggests that the instability in estimates of security betas may result from the inappropriate use of chronological time as an index in the return computation. Present formulations of the return generation process implicitly assume that the rate of evolution of that process is constant in time. If this assumption is correct, equal chronological periods will provide adequate indexes of returns. |
| قاعدة البيانات: |
Business Source Index |
