Beta Saham
Beta Saham
Beta Saham
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
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