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  • Amazon Beta Calculation

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    Kanika Malhotra
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    This document contains daily price and return data for two assets (P_A and P_M) over a period of days from 3-Aug to 7-Aug. It calculates the covariance and variance of the returns and uses this to derive the beta of asset A relative to asset M as 0.28. The beta measures the non-diversifiable risk of asset A relative to asset M.

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    Amazon Beta Calculation (1).xlsx

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    This document contains daily price and return data for two assets (P_A and P_M) over a period of days from 3-Aug to 7-Aug. It calculates the covariance and variance of the returns and uses this to derive the beta of asset A relative to asset M as 0.28. The beta measures the non-diversifiable risk of asset A relative to asset M.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    17 views2 pages

    Amazon Beta Calculation

    Uploaded by

    Kanika Malhotra
    This document contains daily price and return data for two assets (P_A and P_M) over a period of days from 3-Aug to 7-Aug. It calculates the covariance and variance of the returns and uses this to derive the beta of asset A relative to asset M as 0.28. The beta measures the non-diversifiable risk of asset A relative to asset M.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    of 2

    Amazon Beta Calculation

    Date P_A P_M r_A % r_M % r_A_bar r_M_bar


    3-Aug $ 3,181 $ 10,849 NA NA 0.35 0.51
    4-Aug $ 3,101 $ 10,898 -2.49 0.45 0.35 0.51
    5-Aug $ 3,144 $ 10,968 1.37 0.64 0.35 0.51
    6-Aug $ 3,194 $ 10,990 1.61 0.20 0.35 0.51
    7-Aug $ 3,224 $ 11,074 0.93 0.76 0.35 0.51

    Cov (r_A, r_M) 0.02


    Var (r_M) 0.06 Beta=Cov(r_A,r_M)/ Var(r_M)
    Beta 0.28
    r_A - r_A_bar (a) r_M - r_M_bar (b) axb bˆ2
    NA NA NA NA
    -2.85 -0.06 0.17 0.00
    1.02 0.13 0.13 0.02
    1.26 -0.31 -0.39 0.10
    0.57 0.25 0.14 0.06

    ta=Cov(r_A,r_M)/ Var(r_M)

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