Measuring Systematic Risk Using Implicit Beta

Article OPEN
Andrew F. Siegel;
(1995)
  • Journal: Management Science,volume 41,issue 1 January,pages124-128
  • Related identifiers: doi: 10.1287/mnsc.41.1.124
  • Subject: exchange option, volatility and return in financial markets, capital asset pricing model

A new technology is proposed for estimating the systematic (beta) risk of a firm's stock. Just as the implicit volatility of an asset is revealed by an ordinary call option, the "implicit beta" of a stock would be revealed by the price of an option to exchange shares of... View more
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