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dc.contributor.authorHusmann, Svenen_US
dc.contributor.authorStephan, Andreasen_US
dc.date.accessioned2009-01-28T15:47:47Z-
dc.date.available2009-01-28T15:47:47Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/18533-
dc.description.abstractSiegel (1995) has developed a technique with which the systematic risk of a security (beta) can be estimated without recourse to historical capital market data. Instead, beta is estimated implicitly from the current market prices of exchange options that enable the exchange of a security against shares on the market index. Because this type of exchange options is not currently traded on the capital markets, Siegel's technique cannot yet be used in practice. This article will show that beta can also be estimated implicitly from the current market prices of plain vanilla options, based on the Capital Asset Pricing Model. We provide empirical evidence on implicit betas using prices of exchange options from the EUREX over years 2000 to 2004.en_US
dc.language.isoengen_US
dc.publisherDeutsches Institut für Wirtschaftsforschung (DIW) Berlinen_US
dc.relation.ispartofseriesDIW-Diskussionspapiere 640en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordCapital Asset Pricing Modelen_US
dc.subject.keywordBetaen_US
dc.subject.keywordOption Pricingen_US
dc.subject.stwBeta-Faktoren_US
dc.subject.stwCapital Asset Pricing Modelen_US
dc.titleOn Estimating an Asset's Implicit Betaen_US
dc.typeWorking Paperen_US
dc.identifier.ppn521123739en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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