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2310:, induced not only by measurement error but also by underlying changes in the true beta and/or historical randomness. (Intuitively, one would not suggest a company with high return last year also to have as high a return next year.) Such estimators include the Blume/Bloomberg beta (used prominently on many financial websites), the Vasicek beta, the Scholes–Williams beta, the Dimson beta, and the Welch beta.
47:
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2447:, effectively restricts beta estimates to be between −2 and 4. The beta is estimated with the weighted least squares (WLS) estimation on slope-winsorized daily stock returns and the market returns. It outperforms OLS beta, Blume beta, Vasicek beta, and Dimson betas in forecasting the future realizations of market betas and hedging.
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In fund management, adjusting for exposure to the market separates out the component that fund managers should have received given that they had their specific exposure to the market. For example, if the stock market went up by 20% in a given year, and a manager had a portfolio with a market-beta of
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In practice, the choice of index makes relatively little difference in the market betas of individual assets, because broad value-weighted market indexes tend to move closely together. Academics tend to prefer to work with a value-weighted market portfolio due to its attractive aggregation properties
221:
is 1. If an asset has a beta above 1, it indicates that its return moves more than 1-to-1 with the return of the market-portfolio, on average; that is, it is more volatile than the market. In practice, few stocks have negative betas (tending to go up when the market goes down). Most stocks have betas
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estimator. The OLS regression can be estimated on 1–5 years worth of daily, weekly or monthly stock returns. The choice depends on the trade off between accuracy of beta measurement (longer periodic measurement times and more years give more accurate results) and historic firm beta changes over time
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A true beta (which defines the true expected relationship between the rate of return on assets and the market) differs from a realized beta that is based on historical rates of returns and represents just one specific history out of the set of possible stock return realizations. The true market-beta
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commonly show up as examples of low beta. These have some similarity to bonds, in that they tend to pay consistent dividends, and their prospects are not strongly dependent on economic cycles. They are still stocks, so the market price will be affected by overall stock market trends, even if this
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are estimators that account for infrequent trading causing non-synchronously quoted prices. They are rarely useful when stock prices are quoted at day's end and easily available to analysts (as they are in the US), because they incur an efficiency loss when trades are reasonably synchronous.
206:$ 2,000 in the stock market for every $ 1,000 invested in the stock. Thus insured, movements of the overall stock market no longer influence the combined position on average. Beta measures the contribution of an individual investment to the risk of the market portfolio that was not reduced by
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analyses often measure the exposure to a specific fund benchmark, rather than to the overall stock market. Such a beta would measure the risk from adding a specific fund to a holder of the mutual fund benchmark portfolio, rather than the risk of adding the fund to a portfolio of the market.
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the estimated OLS beta towards a mean of 1, calculating the weighted average of 2/3 times the historical OLS beta plus 1/3. A version based on monthly rates of return is widely distributed by
Capital IQ and quoted on all financial websites. It predicts future market-beta
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varies the weight between the historical OLS beta and the number 1 (or the average market beta if the portfolio is not value-weighted) by the volatility of the stock and the heterogeneity of betas in the overall market. It can be viewed either as an optimal
2144:. When used within the context of the CAPM, beta becomes a measure of the appropriate expected rate of return. Due to the fact that the overall rate of return on the firm is weighted rate of return on its debt and its equity, the market-beta of the overall
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of market-beta have to wrestle with two important problems. First, the underlying market betas are known to move over time. Second, investors are interested in the best forecast of the true prevailing beta most indicative of the most likely
1723:
1128:) is related to but often very different to market beta. If the idiosyncratic risk is 0 (i.e., the stock returns do not move), so is the market-beta. The reverse is not the case: A coin toss bet has a zero beta but not zero risk.
2254:. Here, analogous to the above, this beta represents the covariance between the derivative's return and changes in the value of the underlying asset, with, additionally, a correction for instantaneous underlying changes. See
527:
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Market-beta can be weighted, averaged, added, etc. That is, if a portfolio consists of 80% asset A and 20% asset B, then the beta of the portfolio is 80% times the beta of asset A and 20% times the beta of asset B.
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These estimators attempt to uncover the instant prevailing market-beta. When long-term market-betas are required, further regression toward the mean over long horizons should be considered.
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is essentially the average outcome if infinitely many draws could be observed. On average, the best forecast of the realized market-beta is also the best forecast of the true market-beta.
2924:
1438:{\displaystyle \operatorname {Var} (r_{p})=(1-\delta )^{2}\operatorname {Var} (r_{m})+2\delta (1-\delta )\operatorname {Cov} (r_{m},r_{i})+\delta ^{2}\operatorname {Var} (r_{i}).}
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beta estimator that bounds daily stock returns within the range of −2 and 4 times the contemporaneous daily market return. The slope-winsorized daily return of a stock follows
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Beta is the hedge ratio of an investment with respect to the stock market. For example, to hedge out the market-risk of a stock with a market beta of 2.0, an investor would
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under the (violated) assumption that the underlying market-beta does not move. It is modestly difficult to implement. It performs modestly better than the OLS beta.
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However, they can be very useful in cases in which frequent trades are not observed (e.g., as in private equity) or in markets with rare trading activity.
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Despite these problems, a historical beta estimator remains an obvious benchmark predictor. It is obtained as the slope of the fitted line from the
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2206:. However, this effect is not as good as it used to be; the various markets are now fairly correlated, especially the US and Western Europe.
926:{\displaystyle \rho _{a,b}\equiv {\frac {\operatorname {Cov} (r_{a},r_{b})}{\sqrt {\operatorname {Var} (r_{a})\operatorname {Var} (r_{b})}}}}
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Attempts have been made to estimate the three ingredient components separately, but this has not led to better estimates of market-betas.
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1620:{\displaystyle \operatorname {Var} (r_{p})\approx (1-2\delta )\operatorname {Var} (r_{m})+2\delta \operatorname {Cov} (r_{m},r_{i}).}
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In the idealized CAPM, beta risk is the only kind of risk for which investors should receive an expected return higher than the
2051:{\displaystyle r_{p}=w_{a}\cdot r_{a}+w_{b}\cdot r_{b}\Rightarrow \beta _{p,m}=w_{a}\cdot \beta _{a,m}+w_{b}\cdot \beta _{b,m}.}
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Stambaugh, Robert F (1982-11-01). "On the exclusion of assets from tests of the two-parameter model: A sensitivity analysis".
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2.0, this portfolio should have returned 40% in the absence of specific stock picking skills. This is measured by the
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Vasicek, Oldrich A. (1973). "A Note on Using Cross-Sectional
Information in Bayesian Estimation of Security Betas".
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2243:.) Thus "beta" here, calculated traditionally, would vary constantly as the price of the underlying changed.
217:. By definition, the value-weighted average of all market-betas of all investable assets with respect to the
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2171:, namely the overall market, and thus works only with the plain beta.) For example, a beta with respect to
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1827:{\displaystyle \operatorname {Var} (r_{p})/\operatorname {Var} (r_{m})\approx 1+2\delta (\beta _{i}-1).}
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2651:. Tinbergen Institute Research Series. Amsterdam, Netherlands: Rozenberg Publishers. pp. 25–26.
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changes would sometimes be called an "oil-beta" rather than "market-beta" to clarify the difference.
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firm is the weighted average of the firm's debt beta (often close to 0) and its levered equity beta.
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691:{\displaystyle \beta _{i}={\frac {\operatorname {Cov} (r_{i},r_{m})}{\operatorname {Var} (r_{m})}},}
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Dimson, Elroy (1979-06-01). "Risk measurement when shares are subject to infrequent trading".
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Scholes, Myron; Williams, Joseph (1977-12-01). "Estimating betas from nonsynchronous data".
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due to its easy in-time availability and availability to hedge with stock index futures.
1718:{\displaystyle \beta _{i}=\operatorname {Cov} (r_{m},r_{i})/\operatorname {Var} (r_{m}),}
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is an unbiased error term whose squared error should be minimized. The coefficient
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210:. It does not measure the risk when an investment is held on a stand-alone basis.
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2163:(APT) has multiple factors in its model and thus requires multiple betas. (The
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Other beta estimators reflect the tendency of betas (like rates of return) for
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operators. Betas with respect to different market indexes are not comparable.
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will have a distinctly non-linear payoff. In these cases, then, the change in
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when it is added in small quantity. It refers to an asset's non-diversifiable
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522:{\displaystyle r_{i,t}=\alpha _{i}+\beta _{i}\cdot r_{m,t}+\varepsilon _{t}}
226:
164:
30:"Beta coefficient" redirects here. For the general statistical concept, see
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as a whole. Beta can be used to indicate the contribution of an individual
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Foreign stocks may provide some diversification. World benchmarks such as
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999:{\displaystyle \beta _{i}=\rho _{i,m}{\frac {\sigma _{i}}{\sigma _{m}}}}
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The beta of an asset is compared to the market as a whole, usually the
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2440:{\displaystyle {\text{rsw}}_{i,d}\in (-2\cdot r_{m,d},4\cdot r_{m,d})}
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2202:
have slightly lower betas than comparable US-only benchmarks such as
1857:
greater than 1 increases the portfolio variance, while an asset with
2902:
2672:
Blume, Marshall E. (1975). "Betas and Their
Regression Tendencies".
2100:. Statements consisting only of original research should be removed.
2976:
2622:
Expected
Returns: An Investor's Guide to Harvesting Market Rewards
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is not constant. (True also - but here, far less pronounced - for
176:
2597:
Foundations of
Finance: Portfolio Decisions and Securities Prices
167:
that measures the expected increase or decrease of an individual
27:
Expected change in price of a stock relative to the whole market
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2906:
800:{\displaystyle \sigma \equiv {\sqrt {\operatorname {Var} (r)}}}
3693:
2648:
Stochastic
Volatility and the Pricing of Financial Derivatives
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40:
2159:
Occasionally, other betas than market-betas are used. The
2298:(for example, due to changing sales products or clients).
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Leverage and diversification effects of public companies
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2133:(CAPM). Practitioners tend to prefer to work with the
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of the (typically value-weighted) stock-market index
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1249:{\displaystyle r_{p}=(1-\delta )r_{m}+\delta r_{i}.}
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Suppose an investor has all his money in the market
1101:. This equation shows that the idiosyncratic risk (
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1159:and wishes to move a small amount into asset class
325:occasions, is defined by (and best obtained via) a
71:. Unsourced material may be challenged and removed.
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2216:assets. Whereas Beta relies on a linear model, an
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2812:Welch, Ivo (2022). "Simply Better Market Betas".
2846:(11th ed.). McGraw Hill. pp. 145–191.
2645:Ploeg, Antoine Petrus Cornelius van der (2006).
3709:
2918:
2883:Free Beta Calculator for any Asset-Index pair
8:
2156:in the market-model, holding beta constant.
4193:Alternative investment management companies
4170:Standards Board for Alternative Investments
2227:relative to the change in the price of its
1043:is the correlation of the two returns, and
753:Relationship between own risk and beta risk
195:, or market risk. Beta is not a measure of
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4074:Taxation of private equity and hedge funds
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2116:Learn how and when to remove this message
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131:Learn how and when to remove this message
2528:
1135:Adding an asset to the market portfolio
2492:List of financial performance measures
3774:fixed-income relative-value investing
933:, market beta can also be written as
7:
734:{\displaystyle \operatorname {Var} }
714:{\displaystyle \operatorname {Cov} }
69:adding citations to reliable sources
1179:. The new portfolio is defined by
2721:10.1111/j.1540-6261.1973.tb01452.x
2686:10.1111/j.1540-6261.1975.tb01850.x
757:By using the relationship between
225:Most fixed income instruments and
171:in proportion to movements of the
25:
2339:Scholes–Williams and Dimson betas
1837:This suggests that an asset with
4217:
4208:
4207:
4198:
4197:
4188:
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3181:Electronic communication network
2898:Online Portfolio Beta Calculator
2070:
1259:The variance can be computed as
552:{\displaystyle \varepsilon _{t}}
229:tend to have low or zero betas;
45:
2888:Calculate Sharpe Ratio in Excel
2878:Calculate Beta in a Spreadsheet
56:needs additional citations for
2779:Journal of Financial Economics
2744:Journal of Financial Economics
2562:Journal of Financial Economics
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1962:
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1:
3175:Multilateral trading facility
245:tend to have negative betas.
233:tend to have high betas; and
4048:security characteristic line
3598:Returns-based style analysis
3394:Post-modern portfolio theory
3300:Security characteristic line
2791:10.1016/0304-405X(79)90013-8
2756:10.1016/0304-405X(77)90041-1
2574:10.1016/0304-405X(82)90002-2
2264:Greeks (finance) § Vega
2129:and its close link with the
586:is often referred to as the
4036:Capital asset pricing model
3755:Capital structure arbitrage
3352:Efficient-market hypothesis
3256:Capital asset pricing model
3193:Straight-through processing
2542:Corporate Finance Institute
2286:realization and not in the
2131:capital asset pricing model
2096:the claims made and adding
1488:{\displaystyle \delta ^{2}}
1121:{\displaystyle \sigma _{i}}
1090:{\displaystyle \sigma _{m}}
1063:{\displaystyle \sigma _{i}}
1036:{\displaystyle \rho _{i,m}}
579:{\displaystyle \alpha _{i}}
219:value-weighted market index
4275:
3838:Commodity trading advisors
3169:Alternative Trading System
2308:regression toward the mean
2142:risk-free rate of interest
278:{\displaystyle \beta _{i}}
29:
4183:
4175:Managed Funds Association
4119:High-net-worth individual
3892:
2624:. John Wiley & Sons.
2178:Betas commonly quoted in
1885:Beta as a linear operator
1881:added in a small amount.
1877:less than 1 decreases it
4012:Arbitrage pricing theory
3233:Arbitrage pricing theory
2844:Essentials of Investment
2161:arbitrage pricing theory
1630:Using the definition of
32:Standardized coefficient
4124:Institutional investors
4017:Assets under management
3842:managed futures account
3512:Initial public offering
3373:Modern portfolio theory
3268:Dividend discount model
3151:List of stock exchanges
2893:Calculate Beta in Excel
2814:Critical Finance Review
2620:Ilmanen, Antti (2011).
1461:{\displaystyle \delta }
408:{\displaystyle r_{m,t}}
355:{\displaystyle r_{i,t}}
254:Mathematical definition
4149:Sovereign wealth funds
3921:High-frequency trading
3770:Fixed income arbitrage
3400:Random walk hypothesis
2709:The Journal of Finance
2674:The Journal of Finance
2441:
2288:historical market-beta
2052:
1871:
1870:{\displaystyle \beta }
1851:
1850:{\displaystyle \beta }
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807:and the definition of
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595:ordinary least squares
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523:
429:
409:
382:on the rate of return
376:
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329:of the rate of return
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279:
34:. For other uses, see
3991:Structured securities
3807:Distressed securities
3779:Statistical arbitrage
3765:Equity market neutral
3760:Convertible arbitrage
3538:Market capitalization
3347:Dollar cost averaging
2595:Fama, Eugene (1976).
2507:Risk factor (finance)
2442:
2195:does not make sense.
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36:Beta (disambiguation)
4249:Fundamental analysis
4244:Mathematical finance
4109:Financial endowments
4054:Fundamental analysis
3802:Shareholder activism
3784:Volatility arbitrage
3358:Fundamental analysis
3342:Contrarian investing
3305:Security market line
3210:Liquidity aggregator
3187:Direct market access
3098:Quantitative analyst
2826:10.1561/104.00000108
2357:
2295:linear least-squares
2270:Empirical estimation
2256:volatility (finance)
2248:mathematical finance
2246:Accommodating this,
1897:
1861:
1841:
1732:
1634:
1502:
1472:
1452:
1448:For small values of
1266:
1186:
1163:
1143:
1105:
1074:
1047:
1014:
940:
814:
769:
725:
705:
604:
563:
536:
442:
419:
386:
366:
333:
309:
289:
262:
65:improve this article
4223:List of hedge funds
4213:Hedge fund managers
4129:Insurance companies
4114:Fund of hedge funds
4022:Black–Scholes model
3936:Proprietary trading
3911:Algorithmic trading
3878:Fund of hedge funds
3603:Reverse stock split
3548:Market manipulation
3472:Dual-listed company
3332:Algorithmic trading
3262:Capital market line
3064:Inter-dealer broker
2302:Improved estimators
2250:defines a specific
1097:are the respective
80:"Beta" finance
4259:Statistical ratios
4079:Technical analysis
3643:Stock market index
3482:Efficient frontier
3421:Technical analysis
3379:Momentum investing
3201:(private exchange)
3091:Proprietary trader
3033:Shares outstanding
3023:Authorised capital
2437:
2332:Bayesian estimator
2237:time to expiration
2225:price of an option
2200:S&P Global 100
2081:possibly contains
2062:Financial analysis
2048:
1867:
1847:
1824:
1715:
1617:
1485:
1458:
1435:
1246:
1169:
1149:
1118:
1087:
1060:
1033:
996:
923:
797:
759:standard deviation
731:
711:
688:
576:
549:
519:
425:
405:
372:
352:
315:
295:
275:
197:idiosyncratic risk
4231:
4230:
4087:
4086:
3890:
3889:
3857:Long/short equity
3833:Convergence trade
3817:Special situation
3691:
3690:
3492:Flight-to-quality
3244:Buffett indicator
2934:Financial markets
2853:978-1-260-01392-4
2658:978-90-5170-577-5
2537:"High Beta Index"
2487:Hamada's equation
2472:CSS Theory - Beta
2364:
2241:and other factors
2126:
2125:
2118:
2083:original research
1172:{\displaystyle i}
1152:{\displaystyle m}
994:
921:
920:
795:
683:
428:{\displaystyle m}
375:{\displaystyle i}
327:linear regression
318:{\displaystyle t}
298:{\displaystyle i}
249:Technical aspects
222:between 0 and 3.
141:
140:
133:
115:
16:(Redirected from
4266:
4254:Financial ratios
4221:
4220:
4211:
4210:
4201:
4200:
4191:
4190:
4134:Investment banks
3981:Foreign exchange
3951:
3898:
3738:
3718:
3711:
3704:
3695:
3608:Share repurchase
3320:Trading theories
3205:Crossing network
3163:Over-the-counter
3000:Restricted stock
2956:Secondary market
2927:
2920:
2913:
2904:
2857:
2830:
2829:
2809:
2803:
2802:
2774:
2768:
2767:
2739:
2733:
2732:
2715:(5): 1233–1239.
2704:
2698:
2697:
2669:
2663:
2662:
2642:
2636:
2635:
2617:
2611:
2610:
2592:
2586:
2585:
2557:
2551:
2550:
2545:. Archived from
2533:
2502:Pure play method
2446:
2444:
2443:
2438:
2433:
2432:
2408:
2407:
2377:
2376:
2365:
2362:
2351:slope-winsorized
2229:underlying asset
2218:out of the money
2212:are examples of
2121:
2114:
2110:
2107:
2101:
2098:inline citations
2074:
2073:
2066:
2057:
2055:
2054:
2049:
2044:
2043:
2025:
2024:
2012:
2011:
1993:
1992:
1980:
1979:
1961:
1960:
1948:
1947:
1935:
1934:
1922:
1921:
1909:
1908:
1876:
1874:
1873:
1868:
1856:
1854:
1853:
1848:
1833:
1831:
1830:
1825:
1811:
1810:
1780:
1779:
1761:
1753:
1752:
1724:
1722:
1721:
1716:
1708:
1707:
1689:
1681:
1680:
1668:
1667:
1646:
1645:
1626:
1624:
1623:
1618:
1610:
1609:
1597:
1596:
1566:
1565:
1523:
1522:
1495:can be ignored,
1494:
1492:
1491:
1486:
1484:
1483:
1467:
1465:
1464:
1459:
1444:
1442:
1441:
1436:
1428:
1427:
1409:
1408:
1393:
1392:
1380:
1379:
1334:
1333:
1315:
1314:
1287:
1286:
1255:
1253:
1252:
1247:
1242:
1241:
1226:
1225:
1198:
1197:
1178:
1176:
1175:
1170:
1158:
1156:
1155:
1150:
1127:
1125:
1124:
1119:
1117:
1116:
1096:
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1088:
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1069:
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1059:
1058:
1042:
1040:
1039:
1034:
1032:
1031:
1005:
1003:
1002:
997:
995:
993:
992:
983:
982:
973:
971:
970:
952:
951:
932:
930:
929:
924:
922:
916:
915:
894:
893:
875:
874:
870:
869:
857:
856:
837:
832:
831:
806:
804:
803:
798:
796:
779:
740:
738:
737:
732:
720:
718:
717:
712:
697:
695:
694:
689:
684:
682:
678:
677:
658:
654:
653:
641:
640:
621:
616:
615:
585:
583:
582:
577:
575:
574:
558:
556:
555:
550:
548:
547:
528:
526:
525:
520:
518:
517:
505:
504:
486:
485:
473:
472:
460:
459:
434:
432:
431:
426:
414:
412:
411:
406:
404:
403:
381:
379:
378:
373:
361:
359:
358:
353:
351:
350:
324:
322:
321:
316:
304:
302:
301:
296:
284:
282:
281:
276:
274:
273:
258:The market beta
161:beta coefficient
154:
136:
129:
125:
122:
116:
114:
73:
49:
41:
21:
18:Beta coefficient
4274:
4273:
4269:
4268:
4267:
4265:
4264:
4263:
4234:
4233:
4232:
4227:
4179:
4165:Fund governance
4153:
4083:
4007:Absolute return
3995:
3946:
3940:
3931:Program trading
3926:Prime brokerage
3899:
3886:
3866:
3862:Trend following
3847:Dedicated short
3821:
3788:
3745:
3733:
3727:
3722:
3692:
3687:
3678:Voting interest
3588:Public offering
3523:Mandatory offer
3497:Government bond
3477:DuPont analysis
3440:
3436:Value investing
3431:Value averaging
3426:Trend following
3411:Style investing
3406:Sector rotation
3321:
3315:
3294:Net asset value
3220:Stock valuation
3214:
3134:
3042:
3009:
2995:Preferred stock
2970:
2936:
2931:
2864:
2854:
2841:
2838:
2836:Further reading
2833:
2811:
2810:
2806:
2776:
2775:
2771:
2741:
2740:
2736:
2706:
2705:
2701:
2671:
2670:
2666:
2659:
2644:
2643:
2639:
2632:
2619:
2618:
2614:
2607:
2599:. Basic Books.
2594:
2593:
2589:
2559:
2558:
2554:
2535:
2534:
2530:
2526:
2521:
2477:Cost of capital
2462:Alpha (finance)
2457:
2418:
2393:
2360:
2355:
2354:
2304:
2272:
2260:volatility risk
2252:volatility beta
2189:
2122:
2111:
2105:
2102:
2087:
2075:
2071:
2064:
2029:
2016:
1997:
1984:
1965:
1952:
1939:
1926:
1913:
1900:
1895:
1894:
1887:
1859:
1858:
1839:
1838:
1802:
1771:
1744:
1730:
1729:
1699:
1672:
1659:
1637:
1632:
1631:
1601:
1588:
1557:
1514:
1500:
1499:
1475:
1470:
1469:
1468:, the terms in
1450:
1449:
1419:
1400:
1384:
1371:
1325:
1306:
1278:
1264:
1263:
1233:
1217:
1189:
1184:
1183:
1161:
1160:
1141:
1140:
1137:
1108:
1103:
1102:
1077:
1072:
1071:
1050:
1045:
1044:
1017:
1012:
1011:
984:
974:
956:
943:
938:
937:
907:
885:
861:
848:
838:
817:
812:
811:
767:
766:
755:
723:
722:
703:
702:
669:
659:
645:
632:
622:
607:
602:
601:
566:
561:
560:
539:
534:
533:
509:
490:
477:
464:
445:
440:
439:
417:
416:
389:
384:
383:
364:
363:
336:
331:
330:
307:
306:
287:
286:
265:
260:
259:
256:
251:
239:short positions
208:diversification
193:systematic risk
152:
137:
126:
120:
117:
74:
72:
62:
50:
39:
28:
23:
22:
15:
12:
11:
5:
4272:
4270:
4262:
4261:
4256:
4251:
4246:
4236:
4235:
4229:
4228:
4226:
4225:
4215:
4205:
4195:
4184:
4181:
4180:
4178:
4177:
4172:
4167:
4161:
4159:
4155:
4154:
4152:
4151:
4146:
4141:
4139:Merchant banks
4136:
4131:
4126:
4121:
4116:
4111:
4106:
4104:Family offices
4101:
4095:
4093:
4089:
4088:
4085:
4084:
4082:
4081:
4076:
4071:
4066:
4064:Securitization
4061:
4056:
4051:
4033:
4019:
4014:
4009:
4003:
4001:
3997:
3996:
3994:
3993:
3988:
3983:
3978:
3973:
3968:
3963:
3957:
3955:
3948:
3942:
3941:
3939:
3938:
3933:
3928:
3923:
3918:
3913:
3907:
3905:
3901:
3900:
3893:
3891:
3888:
3887:
3885:
3884:
3874:
3872:
3868:
3867:
3865:
3864:
3859:
3854:
3849:
3844:
3835:
3829:
3827:
3823:
3822:
3820:
3819:
3814:
3812:Risk arbitrage
3809:
3804:
3798:
3796:
3790:
3789:
3787:
3786:
3781:
3776:
3767:
3762:
3757:
3751:
3749:
3747:relative value
3735:
3729:
3728:
3723:
3721:
3720:
3713:
3706:
3698:
3689:
3688:
3686:
3685:
3680:
3675:
3670:
3665:
3660:
3655:
3650:
3645:
3640:
3638:Stock exchange
3635:
3633:Stock dilution
3630:
3625:
3620:
3615:
3610:
3605:
3600:
3595:
3590:
3585:
3580:
3575:
3570:
3565:
3560:
3558:Mean reversion
3555:
3550:
3545:
3540:
3535:
3533:Market anomaly
3530:
3525:
3520:
3515:
3509:
3504:
3499:
3494:
3489:
3484:
3479:
3474:
3469:
3464:
3459:
3454:
3452:Bid–ask spread
3448:
3446:
3442:
3441:
3439:
3438:
3433:
3428:
3423:
3418:
3413:
3408:
3403:
3397:
3391:
3386:
3381:
3376:
3370:
3365:
3360:
3355:
3349:
3344:
3339:
3334:
3328:
3326:
3317:
3316:
3314:
3313:
3308:
3302:
3297:
3291:
3286:
3281:
3279:Earnings yield
3276:
3274:Dividend yield
3271:
3265:
3259:
3253:
3247:
3241:
3236:
3230:
3224:
3222:
3216:
3215:
3213:
3212:
3207:
3202:
3196:
3190:
3184:
3178:
3172:
3166:
3165:(off-exchange)
3160:
3159:
3158:
3153:
3142:
3140:
3139:Trading venues
3136:
3135:
3133:
3132:
3127:
3126:
3125:
3115:
3110:
3105:
3100:
3095:
3094:
3093:
3088:
3078:
3073:
3068:
3067:
3066:
3061:
3050:
3048:
3044:
3043:
3041:
3040:
3038:Treasury stock
3035:
3030:
3025:
3019:
3017:
3011:
3010:
3008:
3007:
3005:Tracking stock
3002:
2997:
2992:
2987:
2981:
2979:
2972:
2971:
2969:
2968:
2963:
2958:
2953:
2951:Primary market
2947:
2945:
2938:
2937:
2932:
2930:
2929:
2922:
2915:
2907:
2901:
2900:
2895:
2890:
2885:
2880:
2875:
2870:
2863:
2862:External links
2860:
2859:
2858:
2852:
2837:
2834:
2832:
2831:
2804:
2785:(2): 197–226.
2769:
2750:(3): 309–327.
2734:
2699:
2680:(3): 785–795.
2664:
2657:
2637:
2631:978-1119990727
2630:
2612:
2606:978-0465024995
2605:
2587:
2568:(3): 237–268.
2552:
2549:on 2024-03-01.
2527:
2525:
2522:
2520:
2519:
2514:
2509:
2504:
2499:
2494:
2489:
2484:
2482:Financial risk
2479:
2474:
2469:
2464:
2458:
2456:
2453:
2449:
2448:
2436:
2431:
2428:
2425:
2421:
2417:
2414:
2411:
2406:
2403:
2400:
2396:
2392:
2389:
2386:
2383:
2380:
2375:
2372:
2369:
2343:
2335:
2323:
2303:
2300:
2271:
2268:
2192:Utility stocks
2188:
2185:
2124:
2123:
2078:
2076:
2069:
2063:
2060:
2059:
2058:
2047:
2042:
2039:
2036:
2032:
2028:
2023:
2019:
2015:
2010:
2007:
2004:
2000:
1996:
1991:
1987:
1983:
1978:
1975:
1972:
1968:
1964:
1959:
1955:
1951:
1946:
1942:
1938:
1933:
1929:
1925:
1920:
1916:
1912:
1907:
1903:
1886:
1883:
1866:
1846:
1835:
1834:
1823:
1820:
1817:
1814:
1809:
1805:
1801:
1798:
1795:
1792:
1789:
1786:
1783:
1778:
1774:
1770:
1767:
1764:
1760:
1756:
1751:
1747:
1743:
1740:
1737:
1714:
1711:
1706:
1702:
1698:
1695:
1692:
1688:
1684:
1679:
1675:
1671:
1666:
1662:
1658:
1655:
1652:
1649:
1644:
1640:
1628:
1627:
1616:
1613:
1608:
1604:
1600:
1595:
1591:
1587:
1584:
1581:
1578:
1575:
1572:
1569:
1564:
1560:
1556:
1553:
1550:
1547:
1544:
1541:
1538:
1535:
1532:
1529:
1526:
1521:
1517:
1513:
1510:
1507:
1482:
1478:
1457:
1446:
1445:
1434:
1431:
1426:
1422:
1418:
1415:
1412:
1407:
1403:
1399:
1396:
1391:
1387:
1383:
1378:
1374:
1370:
1367:
1364:
1361:
1358:
1355:
1352:
1349:
1346:
1343:
1340:
1337:
1332:
1328:
1324:
1321:
1318:
1313:
1309:
1305:
1302:
1299:
1296:
1293:
1290:
1285:
1281:
1277:
1274:
1271:
1257:
1256:
1245:
1240:
1236:
1232:
1229:
1224:
1220:
1216:
1213:
1210:
1207:
1204:
1201:
1196:
1192:
1168:
1148:
1136:
1133:
1115:
1111:
1084:
1080:
1057:
1053:
1030:
1027:
1024:
1020:
1008:
1007:
991:
987:
981:
977:
969:
966:
963:
959:
955:
950:
946:
919:
914:
910:
906:
903:
900:
897:
892:
888:
884:
881:
878:
873:
868:
864:
860:
855:
851:
847:
844:
841:
835:
830:
827:
824:
820:
794:
791:
788:
785:
782:
777:
774:
754:
751:
730:
710:
699:
698:
687:
681:
676:
672:
668:
665:
662:
657:
652:
648:
644:
639:
635:
631:
628:
625:
619:
614:
610:
573:
569:
546:
542:
530:
529:
516:
512:
508:
503:
500:
497:
493:
489:
484:
480:
476:
471:
467:
463:
458:
455:
452:
448:
424:
402:
399:
396:
392:
371:
349:
346:
343:
339:
314:
305:, observed on
294:
272:
268:
255:
252:
250:
247:
139:
138:
53:
51:
44:
26:
24:
14:
13:
10:
9:
6:
4:
3:
2:
4271:
4260:
4257:
4255:
4252:
4250:
4247:
4245:
4242:
4241:
4239:
4224:
4216:
4214:
4206:
4204:
4196:
4194:
4186:
4185:
4182:
4176:
4173:
4171:
4168:
4166:
4163:
4162:
4160:
4156:
4150:
4147:
4145:
4144:Pension funds
4142:
4140:
4137:
4135:
4132:
4130:
4127:
4125:
4122:
4120:
4117:
4115:
4112:
4110:
4107:
4105:
4102:
4100:
4099:Vulture funds
4097:
4096:
4094:
4090:
4080:
4077:
4075:
4072:
4070:
4067:
4065:
4062:
4060:
4057:
4055:
4052:
4049:
4045:
4041:
4037:
4034:
4031:
4030:delta neutral
4027:
4023:
4020:
4018:
4015:
4013:
4010:
4008:
4005:
4004:
4002:
3998:
3992:
3989:
3987:
3986:Money markets
3984:
3982:
3979:
3977:
3974:
3972:
3969:
3967:
3964:
3962:
3959:
3958:
3956:
3952:
3949:
3943:
3937:
3934:
3932:
3929:
3927:
3924:
3922:
3919:
3917:
3914:
3912:
3909:
3908:
3906:
3902:
3897:
3883:
3882:Multi-manager
3879:
3876:
3875:
3873:
3869:
3863:
3860:
3858:
3855:
3853:
3850:
3848:
3845:
3843:
3839:
3836:
3834:
3831:
3830:
3828:
3824:
3818:
3815:
3813:
3810:
3808:
3805:
3803:
3800:
3799:
3797:
3795:
3791:
3785:
3782:
3780:
3777:
3775:
3771:
3768:
3766:
3763:
3761:
3758:
3756:
3753:
3752:
3750:
3748:
3743:
3739:
3736:
3730:
3726:
3719:
3714:
3712:
3707:
3705:
3700:
3699:
3696:
3684:
3681:
3679:
3676:
3674:
3671:
3669:
3666:
3664:
3661:
3659:
3656:
3654:
3651:
3649:
3646:
3644:
3641:
3639:
3636:
3634:
3631:
3629:
3626:
3624:
3621:
3619:
3616:
3614:
3613:Short selling
3611:
3609:
3606:
3604:
3601:
3599:
3596:
3594:
3591:
3589:
3586:
3584:
3581:
3579:
3576:
3574:
3571:
3569:
3566:
3564:
3561:
3559:
3556:
3554:
3551:
3549:
3546:
3544:
3541:
3539:
3536:
3534:
3531:
3529:
3526:
3524:
3521:
3519:
3516:
3513:
3510:
3508:
3505:
3503:
3502:Greenspan put
3500:
3498:
3495:
3493:
3490:
3488:
3487:Financial law
3485:
3483:
3480:
3478:
3475:
3473:
3470:
3468:
3465:
3463:
3462:Cross listing
3460:
3458:
3455:
3453:
3450:
3449:
3447:
3445:Related terms
3443:
3437:
3434:
3432:
3429:
3427:
3424:
3422:
3419:
3417:
3416:Swing trading
3414:
3412:
3409:
3407:
3404:
3401:
3398:
3395:
3392:
3390:
3387:
3385:
3384:Mosaic theory
3382:
3380:
3377:
3374:
3371:
3369:
3368:Market timing
3366:
3364:
3361:
3359:
3356:
3353:
3350:
3348:
3345:
3343:
3340:
3338:
3335:
3333:
3330:
3329:
3327:
3325:
3318:
3312:
3309:
3306:
3303:
3301:
3298:
3295:
3292:
3290:
3287:
3285:
3282:
3280:
3277:
3275:
3272:
3269:
3266:
3263:
3260:
3257:
3254:
3251:
3248:
3245:
3242:
3240:
3237:
3234:
3231:
3229:
3226:
3225:
3223:
3221:
3217:
3211:
3208:
3206:
3203:
3200:
3197:
3194:
3191:
3188:
3185:
3182:
3179:
3176:
3173:
3170:
3167:
3164:
3161:
3157:
3156:Trading hours
3154:
3152:
3149:
3148:
3147:
3144:
3143:
3141:
3137:
3131:
3128:
3124:
3121:
3120:
3119:
3116:
3114:
3111:
3109:
3106:
3104:
3101:
3099:
3096:
3092:
3089:
3087:
3084:
3083:
3082:
3079:
3077:
3074:
3072:
3071:Broker-dealer
3069:
3065:
3062:
3060:
3057:
3056:
3055:
3052:
3051:
3049:
3045:
3039:
3036:
3034:
3031:
3029:
3028:Issued shares
3026:
3024:
3021:
3020:
3018:
3016:
3015:Share capital
3012:
3006:
3003:
3001:
2998:
2996:
2993:
2991:
2988:
2986:
2983:
2982:
2980:
2978:
2973:
2967:
2966:Fourth market
2964:
2962:
2959:
2957:
2954:
2952:
2949:
2948:
2946:
2944:
2939:
2935:
2928:
2923:
2921:
2916:
2914:
2909:
2908:
2905:
2899:
2896:
2894:
2891:
2889:
2886:
2884:
2881:
2879:
2876:
2874:
2871:
2869:
2866:
2865:
2861:
2855:
2849:
2845:
2840:
2839:
2835:
2827:
2823:
2819:
2815:
2808:
2805:
2800:
2796:
2792:
2788:
2784:
2780:
2773:
2770:
2765:
2761:
2757:
2753:
2749:
2745:
2738:
2735:
2730:
2726:
2722:
2718:
2714:
2710:
2703:
2700:
2695:
2691:
2687:
2683:
2679:
2675:
2668:
2665:
2660:
2654:
2650:
2649:
2641:
2638:
2633:
2627:
2623:
2616:
2613:
2608:
2602:
2598:
2591:
2588:
2583:
2579:
2575:
2571:
2567:
2563:
2556:
2553:
2548:
2544:
2543:
2538:
2532:
2529:
2523:
2518:
2515:
2513:
2512:Treynor ratio
2510:
2508:
2505:
2503:
2500:
2498:
2495:
2493:
2490:
2488:
2485:
2483:
2480:
2478:
2475:
2473:
2470:
2468:
2465:
2463:
2460:
2459:
2454:
2452:
2429:
2426:
2423:
2419:
2415:
2412:
2409:
2404:
2401:
2398:
2394:
2390:
2387:
2384:
2378:
2373:
2370:
2367:
2352:
2348:
2344:
2340:
2336:
2333:
2328:
2324:
2320:
2317:
2313:
2312:
2311:
2309:
2301:
2299:
2296:
2291:
2289:
2285:
2280:
2276:
2269:
2267:
2265:
2261:
2257:
2253:
2249:
2244:
2242:
2238:
2234:
2230:
2226:
2222:
2219:
2215:
2211:
2207:
2205:
2201:
2196:
2193:
2187:Special cases
2186:
2184:
2181:
2176:
2174:
2170:
2167:has only one
2166:
2162:
2157:
2155:
2149:
2147:
2143:
2138:
2136:
2132:
2120:
2117:
2109:
2106:December 2020
2099:
2095:
2091:
2085:
2084:
2079:This section
2077:
2068:
2067:
2061:
2045:
2040:
2037:
2034:
2030:
2026:
2021:
2017:
2013:
2008:
2005:
2002:
1998:
1994:
1989:
1985:
1981:
1976:
1973:
1970:
1966:
1957:
1953:
1949:
1944:
1940:
1936:
1931:
1927:
1923:
1918:
1914:
1910:
1905:
1901:
1893:
1892:
1891:
1884:
1882:
1880:
1864:
1844:
1821:
1815:
1812:
1807:
1803:
1796:
1793:
1790:
1787:
1784:
1776:
1772:
1765:
1762:
1758:
1749:
1745:
1738:
1735:
1728:
1727:
1726:
1712:
1704:
1700:
1693:
1690:
1686:
1677:
1673:
1669:
1664:
1660:
1653:
1650:
1647:
1642:
1638:
1614:
1606:
1602:
1598:
1593:
1589:
1582:
1579:
1576:
1573:
1570:
1562:
1558:
1551:
1548:
1542:
1539:
1536:
1533:
1527:
1519:
1515:
1508:
1505:
1498:
1497:
1496:
1480:
1476:
1455:
1432:
1424:
1420:
1413:
1410:
1405:
1401:
1397:
1389:
1385:
1381:
1376:
1372:
1365:
1362:
1356:
1353:
1350:
1344:
1341:
1338:
1330:
1326:
1319:
1316:
1311:
1303:
1300:
1297:
1291:
1283:
1279:
1272:
1269:
1262:
1261:
1260:
1243:
1238:
1234:
1230:
1227:
1222:
1218:
1211:
1208:
1205:
1199:
1194:
1190:
1182:
1181:
1180:
1166:
1146:
1134:
1132:
1129:
1113:
1109:
1100:
1082:
1078:
1055:
1051:
1028:
1025:
1022:
1018:
989:
985:
979:
975:
967:
964:
961:
957:
953:
948:
944:
936:
935:
934:
912:
908:
901:
898:
890:
886:
879:
876:
866:
862:
858:
853:
849:
842:
839:
833:
828:
825:
822:
818:
810:
789:
783:
780:
775:
772:
764:
760:
752:
750:
748:
744:
728:
708:
685:
674:
670:
663:
660:
650:
646:
642:
637:
633:
626:
623:
617:
612:
608:
600:
599:
598:
597:solution is:
596:
591:
589:
571:
567:
544:
540:
514:
510:
506:
501:
498:
495:
491:
487:
482:
478:
474:
469:
465:
461:
456:
453:
450:
446:
438:
437:
436:
422:
400:
397:
394:
390:
369:
347:
344:
341:
337:
328:
312:
292:
270:
266:
253:
248:
246:
244:
240:
236:
232:
228:
223:
220:
216:
211:
209:
205:
200:
198:
194:
190:
186:
182:
178:
174:
170:
166:
162:
158:
150:
146:
135:
132:
124:
121:December 2020
113:
110:
106:
103:
99:
96:
92:
89:
85:
82: –
81:
77:
76:Find sources:
70:
66:
60:
59:
54:This article
52:
48:
43:
42:
37:
33:
19:
4043:
3976:Fixed income
3852:Global macro
3794:Event-driven
3663:Tender offer
3583:Public float
3553:Market trend
3543:Market depth
3363:Growth stock
3337:Buy and hold
3246:(Cap-to-GDP)
3238:
3086:Floor trader
3076:Market maker
3059:Floor broker
3047:Participants
2990:Golden share
2985:Common stock
2961:Third market
2843:
2820:(1): 37–64.
2817:
2813:
2807:
2782:
2778:
2772:
2747:
2743:
2737:
2712:
2708:
2702:
2677:
2673:
2667:
2647:
2640:
2621:
2615:
2596:
2590:
2565:
2561:
2555:
2547:the original
2540:
2531:
2450:
2346:
2338:
2327:Vasicek beta
2326:
2315:
2305:
2292:
2287:
2283:
2277:
2273:
2251:
2245:
2208:
2197:
2190:
2177:
2158:
2150:
2139:
2127:
2112:
2103:
2080:
1888:
1878:
1836:
1629:
1447:
1258:
1138:
1130:
1099:volatilities
1009:
756:
700:
592:
531:
285:of an asset
257:
243:inverse ETFs
231:call options
224:
212:
201:
173:stock market
160:
156:
148:
142:
127:
118:
108:
101:
94:
87:
75:
63:Please help
58:verification
55:
4203:Hedge funds
3966:Derivatives
3961:Commodities
3916:Day trading
3826:Directional
3725:Hedge funds
3668:Uptick rule
3648:Stock split
3628:Squeeze-out
3623:Speculation
3568:Open outcry
3457:Block trade
3389:Pairs trade
2284:future beta
2210:Derivatives
2204:S&P 100
2180:mutual fund
2169:risk factor
2135:S&P 500
809:correlation
235:put options
227:commodities
215:S&P 500
181:market risk
169:stock price
157:market beta
4238:Categories
4158:Governance
3732:Investment
3673:Volatility
3653:Stock swap
3573:Order book
3324:strategies
3250:Book value
3118:Arbitrager
3113:Speculator
2524:References
2497:Macro risk
2467:Betavexity
2347:Welch beta
2316:Blume beta
2279:Estimators
2233:volatility
2214:non-linear
2090:improve it
743:covariance
91:newspapers
4092:Investors
3742:Arbitrage
3289:Fed model
3284:EV/EBITDA
3199:Dark pool
3130:Regulator
2975:Types of
2941:Types of
2799:0304-405X
2764:0304-405X
2729:1540-6261
2694:1540-6261
2582:0304-405X
2416:⋅
2391:⋅
2385:−
2379:∈
2173:oil price
2146:unlevered
2094:verifying
2031:β
2027:⋅
1999:β
1995:⋅
1967:β
1963:⇒
1950:⋅
1924:⋅
1865:β
1845:β
1813:−
1804:β
1797:δ
1785:≈
1766:
1739:
1694:
1654:
1639:β
1583:
1577:δ
1552:
1543:δ
1537:−
1528:≈
1509:
1477:δ
1456:δ
1414:
1402:δ
1366:
1357:δ
1354:−
1345:δ
1320:
1304:δ
1301:−
1273:
1231:δ
1212:δ
1209:−
1110:σ
1079:σ
1052:σ
1019:ρ
986:σ
976:σ
958:ρ
945:β
902:
880:
843:
834:≡
819:ρ
784:
776:≡
773:σ
664:
627:
609:β
568:α
541:ε
511:ε
488:⋅
479:β
466:α
362:of asset
267:β
241:and some
185:portfolio
165:statistic
3734:strategy
3618:Slippage
3578:Position
3563:Momentum
3467:Dividend
3146:Exchange
3103:Investor
2455:See also
1725:this is
763:variance
747:variance
741:are the
3954:Markets
3945:Related
3904:Trading
3507:Haircut
3311:T-model
3123:Scalper
2943:markets
2322:poorly.
2319:shrinks
2088:Please
179:to the
163:) is a
145:finance
105:scholar
4026:Greeks
3971:Equity
3528:Margin
3396:(PMPT)
3258:(CAPM)
3108:Hedger
3081:Trader
3054:Broker
2977:stocks
2850:
2797:
2762:
2727:
2692:
2655:
2628:
2603:
2580:
2221:option
1010:where
701:where
532:where
147:, the
107:
100:
93:
86:
78:
4069:Short
4059:Hedge
4040:alpha
3947:terms
3871:Other
3683:Yield
3658:Trade
3593:Rally
3514:(IPO)
3402:(RMH)
3375:(MPT)
3354:(EMH)
3307:(SML)
3296:(NAV)
3270:(DDM)
3264:(CML)
3235:(APT)
3228:Alpha
3195:(STP)
3189:(DMA)
3183:(ECN)
3177:(MTF)
3171:(ATS)
2349:is a
2154:alpha
588:alpha
204:short
183:of a
177:asset
112:JSTOR
98:books
4044:beta
4000:Misc
3518:Long
3322:and
3252:(BV)
3239:Beta
2848:ISBN
2795:ISSN
2760:ISSN
2725:ISSN
2690:ISSN
2653:ISBN
2626:ISBN
2601:ISBN
2578:ISSN
2517:WACC
2345:The
2337:The
2325:The
2314:The
2165:CAPM
761:and
745:and
721:and
593:The
237:and
189:risk
149:beta
84:news
2822:doi
2787:doi
2752:doi
2717:doi
2682:doi
2570:doi
2363:rsw
2239:,
2092:by
1763:Var
1736:Var
1691:Var
1651:Cov
1580:Cov
1549:Var
1506:Var
1411:Var
1363:Cov
1317:Var
1270:Var
899:Var
877:Var
840:Cov
781:Var
729:Var
709:Cov
661:Var
624:Cov
159:or
155:or
143:In
67:by
4240::
4046:/
4042:/
4028::
3880:/
3840:/
3772:/
2818:11
2816:.
2793:.
2781:.
2758:.
2746:.
2723:.
2713:28
2711:.
2688:.
2678:30
2676:.
2576:.
2566:10
2564:.
2539:.
2290:.
2266:.
2262:,
2258:,
2235:,
1879:if
1070:,
765:,
590:.
435::
199:.
191:,
4050:)
4038:(
4032:)
4024:(
3744:/
3717:e
3710:t
3703:v
2926:e
2919:t
2912:v
2856:.
2828:.
2824::
2801:.
2789::
2783:7
2766:.
2754::
2748:5
2731:.
2719::
2696:.
2684::
2661:.
2634:.
2609:.
2584:.
2572::
2435:)
2430:d
2427:,
2424:m
2420:r
2413:4
2410:,
2405:d
2402:,
2399:m
2395:r
2388:2
2382:(
2374:d
2371:,
2368:i
2119:)
2113:(
2108:)
2104:(
2086:.
2046:.
2041:m
2038:,
2035:b
2022:b
2018:w
2014:+
2009:m
2006:,
2003:a
1990:a
1986:w
1982:=
1977:m
1974:,
1971:p
1958:b
1954:r
1945:b
1941:w
1937:+
1932:a
1928:r
1919:a
1915:w
1911:=
1906:p
1902:r
1822:.
1819:)
1816:1
1808:i
1800:(
1794:2
1791:+
1788:1
1782:)
1777:m
1773:r
1769:(
1759:/
1755:)
1750:p
1746:r
1742:(
1713:,
1710:)
1705:m
1701:r
1697:(
1687:/
1683:)
1678:i
1674:r
1670:,
1665:m
1661:r
1657:(
1648:=
1643:i
1615:.
1612:)
1607:i
1603:r
1599:,
1594:m
1590:r
1586:(
1574:2
1571:+
1568:)
1563:m
1559:r
1555:(
1546:)
1540:2
1534:1
1531:(
1525:)
1520:p
1516:r
1512:(
1481:2
1433:.
1430:)
1425:i
1421:r
1417:(
1406:2
1398:+
1395:)
1390:i
1386:r
1382:,
1377:m
1373:r
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