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

Issa Kachaou ()
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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

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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.

Keywords: CAPM; beta estimation; systematic risk; idiosyncratic risk; stock volatility; NVIDIA; NASDAQ; financial modeling; market sensitivity; asset pricing; empirical finance; risk analysis; time series regression; linear regression; investment risk (search for similar items in EconPapers)
Date: 2025-03-13
Note: View the original document on HAL open archive server: https://hal.science/hal-05053311v1
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Published in Master. France. 2025

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