单词 | Beta equation |
释义 | Beta equation The market beta of a security is determined as follows: Regress excess returns of stock y on excess returns of the market. The slope coefficient is beta. Define n as number of observation numbers. Beta=[(n) (sum of [xy]) ]-[ (sum of x) (sum of y)]/[(n) (sum of [xx]) ]-[ (sum of x) (sum of x)]where: n = # of observations (usually 36 to 60 months) y = rate of return for the security. x = rate of return for the S&P 500 index y = rate of return for the security. |
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