Splitting up Beta’s change

Ronny Suarez

MPRA Paper from University Library of Munich, Germany

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.

Keywords: beta; CAPM; volatility (search for similar items in EconPapers)
JEL-codes: C00 F00 (search for similar items in EconPapers)
Date: 2014-09-06
New Economics Papers: this item is included in nep-fmk
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