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In finance, the beta (β or market beta or beta coefficient) is a statistic that measures the expected increase or decrease of an individual stock price in proportion to movements of the stock market as a whole. Beta can be used to indicate the contribution of an individual asset to the market risk of a portfolio when it is
Beta is a way of measuring a stock’s volatility compared with the overall market’s volatility.
Fama and French found 5 main factors are associated with higher returns: value stocks, size momentum, low volatility and quality (also known as dividend payers); A 6th factor, yield, is sometimes ...
The beta for any stock can be found on most popular financial websites or through your online broker. Examples of beta Here are three popular securities and their betas as of April 16, 2024.
The term () represents the movement of the market modified by the stock's beta, while represents the unsystematic risk of the security due to firm-specific factors. Macroeconomic events, such as changes in interest rates or the cost of labor, causes the systematic risk that affects the returns of all stocks, and the firm-specific events are the ...
In finance, arbitrage pricing theory (APT) is a multi-factor model for asset pricing which relates various macro-economic (systematic) risk variables to the pricing of financial assets. Proposed by economist Stephen Ross in 1976, [ 1 ] it is widely believed to be an improved alternative to its predecessor, the capital asset pricing model (CAPM ...
Smart beta strategies have generated considerable interest from institutional investors in the wake of the 2008 financial crisis. According to ETF.com, [4] [5] as of April 2019 there was approximately $880 billion invested in smart beta funds. The increase in demand has led to an increase in the number of products and there are more than 1000 ...
The factor returns are then fit to a second stage model of the form (,,) = (,,) (,) + (,,) Here Y gives the exposure of local factor (i,j) to the global factor whose return is g(k,t) and h(i,j,t) is the local specific factor return. The covariance matrix of factor returns is estimated as