On Estimating an Asset?s Implicit Beta

dc.creator	Husmann, Sven
dc.creator	Stephan, Andreas
dc.date	2005
dc.date.accessioned	2013-10-16T07:00:28Z
dc.date.available	2013-10-16T07:00:28Z
dc.date.issued	2013-10-16
dc.identifier	http://hdl.handle.net/10419/18533
dc.identifier	ppn:521123739
dc.identifier.uri	http://koha.mediu.edu.my:8181/xmlui/handle/10419/18533
dc.description	Siegel (1995) has developed a technique with which the systematic risk of a security (beta) can be estimated without recourse to historical capital market data. Instead, beta is estimated implicitly from the current market prices of exchange options that enable the exchange of a security against shares on the market index. Because this type of exchange options is not currently traded on the capital markets, Siegel's technique cannot yet be used in practice. This article will show that beta can also be estimated implicitly from the current market prices of plain vanilla options, based on the Capital Asset Pricing Model. We provide empirical evidence on implicit betas using prices of exchange options from the EUREX over years 2000 to 2004.
dc.language	eng
dc.publisher	Deutsches Institut für Wirtschaftsforschung (DIW) Berlin
dc.relation	DIW-Diskussionspapiere 640
dc.rights	http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject	G12
dc.subject	ddc:330
dc.subject	Capital Asset Pricing Model
dc.subject	Beta
dc.subject	Option Pricing
dc.subject	Beta-Faktor
dc.subject	Capital Asset Pricing Model
dc.title	On Estimating an Asset?s Implicit Beta
dc.type	doc-type:workingPaper

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