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ACCA FM知识点：β系数

文章来源：ACCA全球官网

发布时间：2021-11-10 15:35

阅读：635次

β系数也称为贝塔系数（Beta coefficient），是一种风险指数，用来衡量个别股票或股票基金相对于整个股市的价格波动情况。β系数是一种评估证券系统性风险的工具，用以度量一种证券或一个投资证券组合相对总体市场的波动性，在股票、基金等投资术语中常见。

Beta

Beta is an indirect measure which compares the systematic risk associated with a company’s shares with the systematic risk of the capital market as a whole.If the beta value of a company’s shares is 1,the systematic risk associated with the shares is the same as the systematic risk of the capital market as a whole.

Beta can also be described as‘an index of responsiveness of the returns on a company’s shares compared to the returns on the market as a whole’.For example,if a share has a beta value of 1,the return on the share will increase by 10%if the return on the capital market as a whole increases by 10%.If a share has a beta value of 0.5,the return on the share will increase by 5%if the return on the capital market increases by 10%,and so on.

Beta values are found by using regression analysis to compare the returns on a share with the returns on the capital market.When applying the CAPM to shares that are traded on the UK capital market,beta values for UK companies can readily be found on the Internet,on Datastream,and from the London Business School Risk Management Service.

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EXAMPLE

Calculating the cost of equity using the CAPM

Although the concepts of the CAPM can appear complex,the application of the model is straightforward.Consider the following information:

Risk-free rate of return=4%

Equity risk premium=5%

Beta value of Ram Co=1.2

Using the CAPM:

E(ri)=Rf+βi(E(rm)–Rf)=4+(1.2 x 5)=10%

The CAPM predicts that the cost of equity of Ram Co is 10%.The same answer would have been found if the information had given the return on the market as 9%,rather than giving the equity risk premium as 5%.

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