Cálculo de Betas (Calculating Betas)
Análisis Financiero, No. 116, pp. 6-13, 2011
10 Pages Posted: 4 Mar 2011 Last revised: 6 Feb 2012
Date Written: March 14, 2011
Abstract
Este trabajo muestra la relación entre las betas apalancadas y sin deuda y la formulación general para el costo del capital. También muestra, paso a paso, el procedimiento para calcular las betas a partir de los datos que se encuentran en el mercado de valores. Se muestran procedimientos conocidos para la estimación de las betas: coeficiente de correlación y las desviaciones estándar de la acción y del mercado, la covarianza entre los rendimientos de la acción y el del mercado y la varianza del mercado y finalmente, usando mínimos cuadrados ordinarios (en forma numérica y gráfica). Este material es útil para los profesionales (practitioners), profesores y estudiantes de Finanzas Corporativas.
This work shows the relationship between levered and unlevered betas and the general formulation for the cost of equity. It also shows, step by step, the procedure to estimate betas from data found in the stock market. It shows well known procedures for estimating betas: correlation coefficient and standard deviations of the stock and the market, covariance between stock and market and market variance and ordinary least squares (numerical and graphical). This written material is useful for practitioners, teachers and students of Corporate Finance.
There is an English version of this paper at http://papers.ssrn.com/abstract=1773489
Note: Downloadable document is in Spanish.
Keywords: Betas, Beta Calculation, Stock Returns, Market Returns, Systematic Risk
JEL Classification: G10, G11, G12
Suggested Citation: Suggested Citation
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