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The relationship between selected market indices and individual securities using Sharpe's beta coefficient

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Title: The relationship between selected market indices and individual securities using Sharpe's beta coefficient
Author: Chen, James C. L.
Degree Master of Science in Business - MScB
Program Business Administration
Copyright Date: 1971
Subject Keywords Stock exchanges -- Mathematical models
Abstract: This study attempts to determine the usefulness of Sharpe's Beta Coefficient in explaining the relationship between selected indices and individual securities. Basically, this involved doing a correlation-regression analysis on the returns of randomly selected securities against those of specific market indices. The returns for both variables were calculated traditionally, that is, by taking the price differential between the closing price at the end of the previous and present quarter and adding the quarterly dividend (where applicable) and dividing the total by the initial price. This was performed for six test periods. Generally, the tests yielded negative results. The amount of explained variation in individual security returns by the Beta Coefficient is negligible. This study concludes by providing some explanations and suggesting modifications.
URI: http://hdl.handle.net/2429/33353
Series/Report no. UBC Retrospective Theses Digitization Project [http://www.library.ubc.ca/archives/retro_theses/]
Scholarly Level: Graduate

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