This study attempts to determine the usefulness of Sharpe's Beta Coefficient in explaining the relationship between selected indices and individual securities. Basically, this involved doing a correlation-regression analysis on the returns of randomly selected securities against those of specific market indices. The returns for both variables were calculated traditionally, that is, by taking the price differential between the closing price at the end of the previous and present quarter and adding the quarterly dividend (where applicable) and dividing the total by the initial price. This was performed for six test periods.
Generally, the tests yielded negative results. The amount of explained variation in individual security returns by the Beta Coefficient is negligible. This study concludes by providing some explanations and suggesting modifications. / Business, Sauder School of / Graduate
| Identifer | oai:union.ndltd.org:UBC/oai:circle.library.ubc.ca:2429/33353 |
| Date | January 1971 |
| Creators | Chen, James C. L. |
| Publisher | University of British Columbia |
| Source Sets | University of British Columbia |
| Language | English |
| Detected Language | English |
| Type | Text, Thesis/Dissertation |
| Rights | For non-commercial purposes only, such as research, private study and education. Additional conditions apply, see Terms of Use https://open.library.ubc.ca/terms_of_use. |
Page generated in 0.0136 seconds