International Finance
International Finance
Beta estimation
One of the most popular risk measures of a stock is the Capital Asset Pricing Model (CAPM). Beta is a measure of a stocks volatility in relation to the market. By definition, the market has a beta of 1, and individual stocks are ranked according to how much they deviate from the market. A stock that moves more than the market over time has a beta above 1 If a stock moves less than the market, the stocks beta is less than 1. High-beta stocks are supposed to be riskier but provide a potential for higher returns while low-beta stocks pose less risk but also lower returns.
To estimate beta, we need the data listed below:
1. To get the historical share price of PMP Ltd go to
2. To get the dividends information, follow the same procedure but choose “dividends only” instead of monthly. However PMP Ltd paid no dividend during that period. To go directly to the information click here.
3. The all ordinaries accumulation index is from blackboard of business and economics faculty of USYD, it’s in the Finc2011 section and in assessment, to go directly to the information click here.
4. The 10 year bond rate is from
Notes on data:
The all ordinaries accumulation index is chosen is because it represents the entire market, and PMP Ltd is a quite typical stock in the stock market