Measuring Systematic Risk Using Implicit Beta

A new technology is proposed for estimating the systematic (beta) risk of a firm's stock. Just as the implicit volatility of an asset is revealed by an ordinary call option, the “implicit beta” of a stock would be revealed by the price of an option to exchange shares of stock for shares of a market index. Considerable benefits would accrue to those involved with the theory and practice of finance, if and when these exchange options begin trading, due to the availability of instantaneous, up-to-the-minute, precise indicators of firms' systematic risk levels.

• 저널Management Science · 41(1) · 124–128
• 토픽Financial Markets and Investment Strategies · Finance
• DOI10.1287/mnsc.41.1.124
• 저자Andrew F. Siegel