Stability and predictive ability of beta
Siirasto, Mikko (2015)
Kandidaatintutkielma
2015
Julkaisun pysyvä osoite on
http://urn.fi/URN:NBN:fi-fe2015090311147
http://urn.fi/URN:NBN:fi-fe2015090311147
Tiivistelmä
The purpose of this paper is to examine the stability and predictive abilities of the beta
coefficients of individual equities in the Finnish stock market. As beta is widely used in
several areas of finance, including risk management, asset pricing and performance
evaluation among others, it is important to understand its characteristics and find out
whether its estimates can be trusted and utilized. Tämän työn tarkoitus on tutkia Beta-kertoimen stabiliteettia ja ennustavuutta suomalaisten osakkeiden osalta. Koska Beta on tärkeä osa rahoituksen kenttää, on tärkeää ymmärtää sitä sekä tutkia voiko siihen luottaa.
coefficients of individual equities in the Finnish stock market. As beta is widely used in
several areas of finance, including risk management, asset pricing and performance
evaluation among others, it is important to understand its characteristics and find out
whether its estimates can be trusted and utilized.