Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/23810
Authors: 
Husmann, Sven
Year of Publication: 
2005
Series/Report no.: 
Diskussionspapiere / Europa-Universität Viadrina Frankfurt (Oder), Wirtschaftswissenschaftliche Fakultät 238
Abstract: 
Siegel (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.
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.