单词 | beta coefficient |
释义 | beta coefficient A measure of how variations in the return on a particular share correlate with variations in the return on a market index. The return on a share is the change in price plus any distribution of dividends. If St is the proportional return on a share from time t - 1 to time t, and Mt is the proportional return on the market index, β is calculated by finding the best fit to St = α + βMt + εt. β < 0 means that St moves against the market; a zero or low value of β means that the share has mainly idiosyncratic risk, independent of overall market movements; a positive value of β means that St moves with the market, and β > 1 means that the share more than reflects movements in the market. |
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