Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/18533 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorHusmann, Svenen
dc.contributor.authorStephan, Andreasen
dc.date.accessioned2009-01-28T15:47:47Z-
dc.date.available2009-01-28T15:47:47Z-
dc.date.issued2005-
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
dc.language.isoengen
dc.publisher|aDeutsches Institut für Wirtschaftsforschung (DIW) |cBerlinen
dc.relation.ispartofseries|aDIW Discussion Papers |x640en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordCapital Asset Pricing Modelen
dc.subject.keywordBetaen
dc.subject.keywordOption Pricingen
dc.subject.stwBeta-Faktoren
dc.subject.stwCapital Asset Pricing Modelen
dc.titleOn Estimating an Asset's Implicit Beta-
dc.typeWorking Paperen
dc.identifier.ppn521123739en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:diw:diwwpp:dp640en

Datei(en):
Datei
Größe
337.79 kB





Publikationen in EconStor sind urheberrechtlich geschützt.