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SIMPLE FACTOR AND SIMPLE INDEX MODEL

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Beta(β) In finance, the Beta (β) of a stock or portfolio is a number describing the relation of its returns with those of the financial market as a whole. • An asset has a Beta of zero if its returns change independently of changes in the market's returns. A positive beta means that the asset's returns generally follow the market's returns, in the sense that they both tend to be above their respective averages together, or both tend to be below their respective averages together. A negative beta means that the asset's returns generally move opposite the market's returns: one. | CHAPTER FOUR SIMPLE FACTOR AND SIMPLE INDEX MODEL 06 08 2011 1 SIMPLE ONE-FACTOR MODEL Re Rf R Rm - Rf What is the only factor in the model 06 08 2011 2 Beta P In finance the Beta p of a stock or portfolio is a number describing the relation of its returns with those of the financial market as a whole. An asset has a Beta of zero if its returns change independently of changes in the market s returns. A positive beta means that the asset s returns generally follow the market s returns in the sense that they both tend to be above their respective averages together or both tend to be below their respective averages together. A negative beta means that the asset s returns generally move opposite the market s returns one will tend to be above its average when the other is below its average. 06 08 2011