Beta Saham

BETA OF SHARES
Beta
Beta is a measure of the return volatility of a security or
portfolio return to market returns. The i securities beta
measures the volatility of the return of i securities with market
returns. Portfolio beta measures the volatility of portfolio
returns with market returns
Beta is a systematic risk gauge of a security or portfolio relative
to market risk
Volatility is the fluctuation of the returns of a security or
portfolio in a certain time period
If the return of a security and portfolio statistically follows the
fluctuation of the market return, then the beta of the security or
portfolio is 1
Measuring the beta of a security or beta of a portfolio
is important for analyzing the security or portfolio
Beta securities indicate a systematic risk that cannot
be eliminated because of diversification.
Portfolio beta is a weighted average of beta of each
security
n
βp = ∑wi.βi
i=1
The beta of a security can be calculated using estimation
techniques that use historical data to estimate future beta
Beta estimates are generally carried out historically, in the
form of:
1. Beta market
Regression between stock returns and market returns
(using a single index approach or CAPM)
 Single
index model - Ri = αi + βi . RM +ei
 CAPM Model -- R = R
i BR + βi . (RM – RBR) +ei
-- Ri - RBR = βi . (RM – RBR) +ei

 Strengths: measure the response of each security to market
movements.
 Weaknesses: do not directly reflect changes in company characteristics
because they are calculated on the basis of market data relationships

Market Beta Estimation
According to the SIM (Sharpe Index Models):

Ri = α + βi + ei
In general the equation can be written:
Y = a+bX
Known:
Y = profit level of a stock
X = level of market index profit
To calculate the coefficient b, you can use the formula:
b = nεXY - εX εY
(nεX)2 - (εX)2
While the intercept value a can be calculated :
a = Y - bX
a = εY. ε X2 - εX εXY
(nεX)2 - (εX)2
Beta can also be calculated using regression
techniques using the CAPM model :
Ri = RBR + βi (RM – RBR) + ei
Ri - RBR = βi (RM – RBR) + ei
Known
Ri = return of securities to i
RBR = return of risk free assets
RM = market portfolio return
Βi = beta securities i
Or beta can be found through its covariance :
β = σiM / σ2M
CONTOH
_ _ _
(RA) (%) (RM) (% (RA – RA).(RM – RM) (RM – RM)2
7,5 4,0 5,9475 3,8025
8,0 4,5 3.6975 2.1025
9,0 4,5 2.2475 2.1025
10,0 5,5 0.2475 0.2025
10,5 6,0 -0.0025 0.0025
11,5 7,0 0.9975 1.1025
11,0 6,0 0.0225 0.0025
12,0 6,5 0.7975 0.3025
12,0 7,5 2.2475 2.4025
14,0 8,0 7.0725 4.2025
Rata2=10,55 5,95 σiM = 23.275 σ2M = 16.225
βi = σiM
σ2M
 = 23.275
16.225
= 1.4345
Accounting Beta
 The accounting beta was first used by Brown and Ball (1969)
 Calculated the same as the market beta (h), but the return data is
replaced by accounting profit.
 Formulated :
 hi = σprofit.iM
σ2profitM
 hi = Securities accounting beta i

 σprofit.iM = Covariance between corporate profits with i
market profit index
= (RA – RA).(RM – RM)
 σ2labaM =
Variant of the market profit index
= (RM – RM)2
Example
For example a capital market has only three types of
securities, namely A, B, and C. Thus the market profit
index can be calculated by means of the arithmetic
average of company profits A, B, and C. accounting
earnings for companies A, B, and C and its market
profit index for 10 periods is shown in the following
table.
i EA EB EC EM
1 4,0 1,15 2,5 2,55
2 4,5 1,5 2,7 2,9
3 5,0 1,7 2,9 3,2
4 5,5 1,8 3,0 3,43
5 5,0 2,0 3,5 3,5
6 5,1 2,1 3,7 3,63
7 4,9 2,2 3,9 3,67
8 5,0 2,0 4,0 3,67
9 4,5 2,5 3,5 3,5
10 5,5 2,7 3,8 4,0
Mean 4.9 1.965 3.35 3.405
t Cov (EA, EM) Cov (EB, EM) Cov (EC, EM) Var (EM)
_ _ _ _ _ _ _
(EA – EA)(EM –EM) (EB – EB)(EM –EM) (EC – EC)(EM –EM) (RM - RM)2
1 0.7695 0.696825 0.72675 0.731025

2 0.202 0.234825 0.32825 0.255025
3 -0.0205 0.054325 0.09225 0.042025
4 0.017 -0.00467 -0.00992 0.000803
5 0.0095 0.003325 0.01425 0.009025
6 0.045667 0.030825 0.079917 0.052136
7 0 0.061492 0.143917 0.068469
8 0.026167 0.009158 0.170083 0.068469
9 -0.038 0.050825 0.01425 0.009025
10 0.357 0.437325 0.26775 0.354025
Total 1.368333 1.57425 1.8275 1.590028
hA = Cov (EA, EM)
Var (EM)
= 1.368333
1.590028
= 0.860572
hB = Cov (EB, EM)
Var (EM)
= 1.574250
1.590028
= 0.98957
hC = Cov (EC, EM)
Var (EM)
= 1.827500
1.590028
= 1.1505
The regression equation for estimating the accounting
beta is as follows :
∆Ei.t = gi + hi.∆Emt + wi.t
∆Ei.t = Changes in company accounting earnings to i

for the t-period
∆Emt = Changes in the market profit index for the t-
period
wi.t = Residual Error
gi = Intercept
hi = Regression parameter which is an estimate
for the company accounting account i
Fundamental Beta
The fundamental beta uses the company's
fundamental variables:
Dividend payout
Asset growth
Leverage
Liquidity
Assets size
Earning variability
Accounting beta
bi = a0 + a1 X1i + a2X2i …..+ anXni + ei
bi = beta of the I company's market

X = dividend, growth, leverage, liquidity, size, etc.

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BETA OF SHARES

-- Ri - RBR = βi . (RM – RBR) +ei

because they are calculated on the basis of market data relationships

According to the SIM (Sharpe Index Models):

 hi = Securities accounting beta i

1 0.7695 0.696825 0.72675 0.731025

∆Ei.t = Changes in company accounting earnings to i

bi = beta of the I company's market

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