Arbeitspapier
On Estimating an Asset's Implicit Beta
Siegel (1995) has developed a technique with which the systematic risk of a security (beta) can be estimated without recourse to historical capital market data. Instead, beta is estimated implicitly from the current market prices of exchange options that enable the exchange of a security against shares on the market index. Because this type of exchange options is not currently traded on the capital markets, Siegel's technique cannot yet be used in practice. This article will show that beta can also be estimated implicitly from the current market prices of plain vanilla options, based on the Capital Asset Pricing Model.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper ; No. 238
- Klassifikation
-
Wirtschaft
- Thema
-
Beta-Faktor
Capital Asset Pricing Model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Husmann, Sven
- Ereignis
-
Veröffentlichung
- (wer)
-
European University Viadrina, Department of Business Administration and Economics
- (wo)
-
Frankfurt (Oder)
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Husmann, Sven
- European University Viadrina, Department of Business Administration and Economics
Entstanden
- 2005
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