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Topic: Beta coefficient

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In the News (Sun 17 Feb 19)

  Wikinfo | Beta   (Site not responding. Last check: 2007-11-04)
Beta should not be confused with a similar-looking but unrelated letter in German language orthography, ß, which denotes a voiceless "s" sound.
The beta distribution is a probability distribution defined in terms of the beta function.
In visual psychology, beta movement is a perceptual illusion in which a sequence of still images appears to be moving.
www.wikinfo.org /wiki.php?title=Beta   (510 words)

Beta is a measure of the systematic, non-diversifiable risk of an investment.
The beta coefficient of a security, fund, or portfolio represents its market sensitivity, relative to a given market index and time period.
Beta is a statistical estimate of the expected average change in an investment's rate of return that corresponds to a one percent change in the market over the time period selected.
www.russell.com /US/glossary/analytics/beta.htm   (201 words)

 Alpha Beta Soup: The three primary ingredients of Modern Portfolio Theory -- alpha, beta and R-squared -- can be used ...
A small beta coefficient (less than 1.00) produces a line that is less steep, indicating that as X is increased, Y increases only slightly.
Thus, MPT coefficients that are based on data from a one-year period are not as valuable as those calculated over a three- or five-year period.
As previously mentioned, a high R-squared suggests that the beta coefficient is a reliable measure of a fund's volatility relative to its respective index.
www.financial-planning.com /Investments/Portfolio_Management/20010101015.html   (2487 words)

 Stats: What is a beta coefficient? (April 4, 2006)
The interpretation of a beta coefficient is slightly different than the interpretation of a slope coefficient.
So a beta coefficient of 0.5 means that every time the independent variable changes by one standard deviation, the estimated outcome variable changes by half a standard deviation, on average.
In Finance, there is an alternate use of the term "beta coefficient" to represent the level of risk associated with an individual stock or of a portfolio of stocks.
www.childrens-mercy.org /stats/weblog2006/BetaCoefficient.asp   (382 words)

The beta coefficient measures an investment's relative volatility or impact of a per-unit change in the independent variable (market) on the dependent variable (portfolio), holding all else constant.
The correlation coefficient measures the degree to which the movements of two variables are related.
Generally, a correlation coefficient with a t-stat of ≥1.96 or ≤-1.96 (95% confidence level) indicates that the coefficient is significantly different from zero.
www.dfaus.com /library/glossary   (1452 words)

 Beta Coefficient   (Site not responding. Last check: 2007-11-04)
A beta, for example, of 1.5 indicates that an investment's returns will likely be 1.5 times as volatile as the general market's returns.
A beta of.92, on the other hand, means that an investment would be expected to drop 8% less than that of the benchmark and rise 8% less than the benchmark.
A negative beta indicates that an investment is likely to move in the opposite direction of the benchmark.
www.totalreturnannuities.com /annuity-glossary/b/beta-coefficient.html   (155 words)

 [No title]
Betas are generally calculated for some past period, and the assumption is made that the relative volatility of a stock will remain constant in the future.
The sign of the correlation coefficient is the same as the sign of the covariance, so a positive sign means that the variables move together, a negative sign indicates that they move in opposite directions, and if the correlation coefficient is close to zero, they move independently of one another.
Betas of portfolios of 10 or more randomly selected stocks have been shown to be stable, while the betas of individual securities have been shown to be unstable.
www.swlearning.com /finance/brigham/ifm8e/sg03.doc   (3973 words)

 Beta Definition
The beta of a stock is calculated by running a regression analysis.
If the beta coefficient is 1, the stock tends to be as volatile as the stock market.
A beta greater than 1 means the stock is more volatile, while a beta less than 1 means it's less volatile.
www.teenanalyst.com /glossary/b/beta.html   (126 words)

 Beta coefficient - Wikipedia, the free encyclopedia
Beta is also referred to as financial elasticity or correlated relative volatility, and can be referred to as a measure of the asset's sensitivity of the asset's returns to market returns, its non-diversifiable risk, its systematic risk or market risk.
On a portfolio level, measuring beta is thought to separate a manager's skill from his or her willingness to take risk.
The beta coefficient was actually born out of linear regression analysis.
en.wikipedia.org /wiki/Beta_coefficient   (637 words)

 BETA   (Site not responding. Last check: 2007-11-04)
A stock with a high beta coefficient (in absolute terms), such as 6.30 or -6.30, is likely to have greater price percentage movement than the SandP 500 Index.
A Beta coefficient of -0.50 represents stock price movement that tends to be half as volatile of the SandP 500 Index, but one whose price tends to move in the opposite direction.
A Beta coefficient of -1.00 represents stock price movement that tends to have the same volatility as the SandP 500 Index, but one whose price tends to move in the opposite direction.
www.dailygraphs.com /Terms/beta.htm   (226 words)

 It's All Greek to Me [Fool.com: Commentary] November 20, 2006
In this equation, alpha is the component that is unrelated to the market and beta is the component that reflects the sensitivity of the asset's return to the overall return of the broader market.
Because one of the fundamental tenets of investing is that those who take greater risks should receive greater returns as a reward, the beta coefficient helps investors to pinpoint the portion of an asset's return that is due to the level of risk.
However, if the beta coefficient of the portfolio shows that the manager took twice as much risk to gain just an extra 5% of return, you might have second thoughts about whether the manager's decisions were prudent or just lucky.
www.fool.com /news/commentary/2006/commentary06112002.htm   (1281 words)

 [No title]
The Beta Coefficient is a measure of tendency of a stock to move up and down with the market.
Since a stock's beta measures its contribution to the riskiness of a portfolio, beta is the appropriate measure of the stock's riskiness.
The portfolio beta coefficient is the weighted average of the betas of investments in the portfolio.
www.ndsu.nodak.edu /instruct/swandal/AGEC346s/afcapmh.htm   (772 words)

 [No title]
A path coefficient is a standardized regression coefficient (beta) showing the direct effect of an independent variable on a dependent variable in the path model.
Path coefficients may be used to decompose correlations in the model into direct and indirect effects, corresponding, of course, to direct and indirect paths reflected in the arrows in the model.
The total causal effect is the coefficient in a regression with all of the model's prior but not intervening variables for x and y controlled (the beta coefficient for the usual standardized solution, the partial b coefficient for the unstandardized or raw solution).
www2.chass.ncsu.edu /garson/pa765/path.htm   (3969 words)

 Bloopers & Blunders: beta coefficient
A beta of 1 indicates that the security's price will move with the market.
A beta greater than 1 indicates that the security's price will be more volatile than the market.
Thus, a company or a portfolio with a beta less than one would have the systematic component of risk less volatile than the market.
www.morevalue.com /glossary/restrict/BB-beta.html   (225 words)

 What is beta? - Aug. 3, 2001
Beta -- or if you want to get nitpicky about it, the coefficient of beta -- was a concept developed in the early 1960s by Nobel laureate William Sharpe.
The S&P 500 is arbitrarily assigned a beta of 1.0.
That's because beta is designed to measure the extent to which the overall market influences the movements of a stock.
money.cnn.com /2001/08/03/expert/expert   (382 words)

 Adaptive removal of resonance-induced noise - Patent 6611602
The output 21 of the estimator 19 is an estimate of the tuning-parameter beta needed to correctly tune the recursive tunable notch filter 15.
The output 21 of the beta estimator 31 is the previously discussed output of the tuning parameter estimator 19.
Thus, u(n)*x(n-1) is multiplied by a second coefficient equal to twice the expected range of the BETA coefficient of the IIR 15.
www.freepatentsonline.com /6611602.html   (5269 words)

 Glossary   (Site not responding. Last check: 2007-11-04)
The beta coefficient of the SandP 500 is 1.
Any stock that is more volatile than the market as a whole has a beta value higher than 1.
If the beta coefficient is less than 1, the security is considered to be less risky than the market.
www.quicken.com /glossary/notemplates/content/?beta   (84 words)

In the capital-asset pricing model, the beta coefficient () is taken as a measure of the market (or non-diversifiable) risk of a particular security.
The beta coefficient links the return on the security and the average market return.
The beta of a stock is determined as follows:
www.lib.uchicago.edu /e/busecon/guides/beta.html   (424 words)

 Multiple Regression
The t-score indicates that the slope of the b coefficient is significantly different from zero so the variable should be in the equation.
The standardized regression coefficients in any one regression equation are measured on the same scale, with a mean of zero and a standard deviation of 1.
The convention to use to denote non-standardized regression coefficients and to use b to denote standardized coefficients is not always respected.
www.csulb.edu /~msaintg/ppa696/696regmx.htm   (1394 words)

 Review: Multivariate Statistics   (Site not responding. Last check: 2007-11-04)
Therefore, testing for the significance of the slope (b), is equivalent to testing for the correlation coefficient (r).
Moreover, the correlation coefficient, r, is equal to the standardized beta-coefficient.
The multiple correlation coefficient, R, is equal to the product moment correlation, r, that would be calculated if the observed values were correlated with the values computed from the regression equation.
janda.org /c10/Lectures/topic10/R4-multivariate.htm   (1105 words)

 [No title]
While the coefficient on the interaction term is negative in 33 of the 47 markets (lower credit rating means higher risk), it is clear that this formulation is insufficient to explain the return patterns in the developing markets.
Even if significant coefficient were obtained, however, this framework is problematic because data on the determining attribute (equity risk) is not available for a broader set of countries.
The coefficients on the credit rating variable for developed countries and the credit rating variable on the developing countries is indistinguishable.
www.duke.edu /~charvey/Country_risk/ccr/ccr12.htm   (2126 words)

 Multiple Regression Statistics Help by Statistics Solutions   (Site not responding. Last check: 2007-11-04)
The standardized version of the b coefficients are the beta weights, and the ratio of the beta coefficients is the ratio of the relative predictive power of the independent variables.
The beta method is related to partial correlation, which is relative to the variability of the dependent variable after partialling out from the dependent variable the common variance associated with the control IVs (the IVs other than the one being considered in partial correlation).
In general, the b coefficients are the distances from the dummy values to the reference value, controlling for other variables in the equation, and the distance from the reference category to the other dummy variables will be the same in a model in which the reference (omitted) categories are switched.
www.statisticssolutions.com /Multiple_Regression.htm   (18389 words)

A beta less than 1 means that the security will be less volatile than the market.
For example, if a stock's beta is 1.2 it's theoretically 20% more volatile than the market.
Beta: Why You Should Know What It Is - Learn about a measure that can help investors meet their criteria for risk.
baystreet.investopedia.com /terms/b/beta.asp   (229 words)

 [No title]
Because beta calculations are updated as new data is generated constantly, the beta you observe may be different.
The beta is exactly 1.0 indicating that Ford Motor Company has the same much market risk than the average stock in the market.
The portfolio beta = 0.25 (0.27) + 0.25 (2.12) + 0.25 (0.61) + 0.25 (1.0) = 1.0.
classweb.gmu.edu /chylton/solutions301/cyber6.doc   (583 words)

 WWWFinance - Asset Pricing and Risk Management: Campbell R. Harvey
The alpha is the intercept in the regression.
The beta of the portfolio is the weighted average of the individual asset betas where the weights are the portfolio weights.
The coefficient in the linear relation is the asset's beta or the ratio of the conditional covariance with the market to the conditional variance of the market.
www.duke.edu /~charvey/Classes/ba350/riskman/riskman.htm   (3012 words)

 Time-series analysis of return and beta in U.S Journal of the Academy of Business and Economics - Find Articles
In particular, most of CAPM tests have focused on the cross-sectional aspects of data holding beta coefficients constant in the sense that CAPM was originally developed to explain differences in risks across capital assets.
Hence, it is more appropriate to examine the relationship between return and beta using time series tests in the sense that time-varying properties of beta coefficients seems more realistic than the non-stochastic beta assumption.
Since the change of the systematic risk, or beta, is the fundamental premise of the time-series analysis, the time-series test is less affected by data selection bias than the case for the related cross-sectional studies.
www.findarticles.com /p/articles/mi_m0OGT/is_1_3/ai_n9483937   (918 words)

 Boston University - MSIM   (Site not responding. Last check: 2007-11-04)
A beta coefficient measures the relative volatility of a given security vis-à-vis a market portfolio or market index (M).
Beta is the ratio of the volatility of a security (j) to the volatility of the market portfolio.
Using this information, with a simple percentage change method (see the equation below for calculating the beta for stock X), we want to calculate the beta for each stock, and also for the broad market index that represents the average security in the market.
people.bu.edu /bozorg/METFI631_W3_L1_T8_S3.htm   (156 words)

The value of the slope coefficient "beta" in the linear regression is referred to as the mutual fund's "beta" coefficient.
For example, if beta > 1, the implication is that the return to the mutual fund will be greatly influenced by the behavior of the market and will move in the same direction as the change in the market return.
If 0 <= beta < 1, the return to the mutual fund will be less sensitive to changes in market behavior but will also move in the same direction as the change in the market return.
www.uic.edu /classes/idsc/ids371/notes/ntsbeta2.htm   (408 words)

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