The beta coefficient (β) as a measure of systematic risk:A demonstration that the value of the systematic risk of the market is equal to one

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DOI:

https://doi.org/10.5377/reice.v6i12.7473

Keywords:

Beta coefficient, systematic risk, non-diversifiable risk, variances and covariances.

Abstract

The beta coefficient is a measure of systematic or non-diversifiable risk that affects the set of companies in a market, which is why their estimation is important when making investments, since this risk must be assumed by investors . The objective of this paper is to demonstrate that the systematic risk of the market has a value equal to one, this from different techniques such as: calculation of the beta coefficient through a linear regression, through the analysis of variances and covariances and through graphics and calculation of the slope through the Micrososft Excel program.  To carry out the demonstration, the quotes of the Standard & Poor's 500 market index were used, during the period from September 1, 2013 to September 1, 2018. The value of the beta coefficient by means of the techniques used, gave as result in a value equal to one, thus showing that the beta of the market has a value equal to one.

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References

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Published

2019-02-26

How to Cite

Brenes González, H. A. (2019). The beta coefficient (β) as a measure of systematic risk:A demonstration that the value of the systematic risk of the market is equal to one. Revista Electrónica De Investigación En Ciencias Económicas, 6(12), 1–20. https://doi.org/10.5377/reice.v6i12.7473

Issue

Vol. 6 No. 12 (2018): July - December

Section

Research Articles

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