lnu.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
On Estimating an Asset's Implicit Beta
Europa-Universitat Viadrina Frankfurt, Germany.
Europa-Universitat Viadrina Frankfurt, Germany.ORCID iD: 0000-0001-5776-9396
2007 (English)In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934, Vol. 27, no 10, p. 961-979Article in journal (Refereed) Published
Abstract [en]

A.F. Siegel (1995) has developed a technique with which the systematicrisk of a security (beta) can be estimated without recourse to historicalcapital market data. Instead, beta is estimated implicity from the currentmarket prices of exchange options that enable the exchange of a securityagainst shares on the market index. Because this type of exchange optionsis not currently traded on the capital markets, Siegel’s technique cannotyet be used in practice. This study will show that beta can also be estimat-ed implicitly from the current market prices of plain vanilla options, basedon the capital asset pricing model. Empirical evidence on implicit betas isprovided using prices of exchange options from the European DerivativesExchange Market (EUREX) over years 2000 to 2004.

Place, publisher, year, edition, pages
John Wiley & Sons, 2007. Vol. 27, no 10, p. 961-979
Keywords [en]
Economics and Business, Ekonomi och näringsliv
National Category
Economics
Research subject
Economy, Economics
Identifiers
URN: urn:nbn:se:lnu:diva-107959DOI: 10.1002/fut.20285OAI: oai:DiVA.org:lnu-107959DiVA, id: diva2:1611192
Available from: 2021-11-13 Created: 2021-11-13 Last updated: 2021-11-26Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full text

Authority records

Stephan, Andreas

Search in DiVA

By author/editor
Stephan, Andreas
In the same journal
Journal of futures markets
Economics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 39 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf