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dc.contributor.authorTofallis, C.
dc.identifier.citationTofallis , C 2008 , ' Investment Volatility : A critique of standard beta estimation and a simple way forward ' , European Journal of Operational Research , vol. 187 , no. 3 , pp. 1358-1367 .
dc.identifier.otherPURE: 810768
dc.identifier.otherPURE UUID: f5d28d7f-90ca-4a77-8219-6ca7cb117d65
dc.identifier.otherScopus: 36849017001
dc.identifier.otherORCID: /0000-0001-6150-0218/work/34655903
dc.description.abstractBeta is a widely used quantity in investment analysis. We review the common interpretations that are applied to beta in finance and show that the standard method of estimation – least squares regression – is inconsistent with these interpretations. We present the case for an alternative beta estimator which is more appropriate, as well as being easier to understand and to calculate. Unlike regression, the line fit we propose treats both variables in the same way. Remarkably, it provides a slope that is precisely the ratio of the volatility of the investment’s rate of return to the volatility of the market index rate of return (or the equivalent excess rates of returns). Hence, this line fitting method gives an alternative beta, which corresponds exactly to the relative volatility of an investment – which is one of the usual interpretations attached to beta.en
dc.relation.ispartofEuropean Journal of Operational Research
dc.subjectInvestment analysis; Beta; Volatility; Systematic risk
dc.titleInvestment Volatility : A critique of standard beta estimation and a simple way forwarden
dc.contributor.institutionDepartment of Marketing and Enterprise
dc.contributor.institutionSocial Sciences, Arts & Humanities Research Institute
dc.contributor.institutionHertfordshire Business School
dc.description.statusPeer reviewed
rioxxterms.typeJournal Article/Review

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