贝塔系数在中应用与成本估算.pdfVIP

C.Expressingnon-diversifiableriskwithβ

Aggreemarketportfolio

Individualstockreturns

Percentchange

βisthestandardizedmeasureforco-varianceofstockreturnswithaggreemarket

return

年收益率

Annualreturn

更深入地了解BEBAS(β)−(1)

•重要点#1：市场投资组合的贝塔值为1.0。（定义如此）

$$

\a_{m}

=\frac

{\operatorname

{C

o

v}

(R

_{m}

,

R

_{m})}{\sigma^{2}

(R

_{m})}=

\frac

{\sigma^{2}

(R

_{m})