by admin | Aug 25, 2011 | beta, risk
Beta is a risk statistic which tells us essentially how our portfolio behaves relative to the market. It is a derivative of Modern Portfolio Theory, and more specifically, the Capital Asset Pricing Model (CAPM). The purpose of this post isn’t to address whether...
by admin | Apr 13, 2010 | beta, risk
Fama & French’s famous paper, “The Cross Section of Expected Stock Returns” (The Journal of Finance, June 1972), is credited with the “Beta is Dead” suggestion, as a result of the empirical evidence to discredit the Capital Asset...
by admin | Jan 12, 2010 | beta, risk
A 1992 Journal of Finance article by Fama & French is often cited as the source for the line, “Beta is dead.” Recall that Beta is a measure of volatility; actually, a security’s volatility vis-a-vis the market. It is used in the Capital Asset...
