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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Dual-beta ： ウィキペディア英語版 Dual-beta In investing, dual-beta is a concept that states that a regular, market beta can be divided into downside beta and upside beta. Thus, dual stands for two betas, upside and downside. The fundamental principle behind dual-beta is that upside and downside betas are not the same. This is in contrast to what the Capital Asset Pricing Model assumes, which is that upside and downside betas are identical. Moreover, Fama and French (1992) demonstrated that beta is an imperfect measure of investment risk. ==Formula== The dual-beta model allows investors to differentiate downside risk – risk of loss – from upside risk, or gain. Regular beta fails to acknowledge, and thus to permit, this distinction. The dual-beta model does not assume that upside beta and downside betas are the same but actually calculates what the values are for the two betas, thus allowing investors to make better-informed investing decisions. “The dual-beta model can thus be expressed as: :$(r\_j-r\_f)\_t\; =\; a\_j^+D\; +\; \backslash beta\_j^+(r\_m^+-r\_f\; )\_tD\; +\; a\_j^-(1-D)\; +\; \backslash beta\_j^-(r\_m^--r\_f\; )\_t(1-D)\; +\; \backslash epsilon\_t$, where the dependent variable, $(r\_j-r\_f)\_t$ is the “the asset return in excess of the riskless rate, the two intercepts are $a\_j^+$ and $a\_j^-$, for the ‘up-market’ and ‘down-market’ regime respectively, and $\backslash beta\_j^+(r\_m^+-r\_f\; )\_t$ is the product of the ‘up-market beta’ and the up-market excess return, and similarly $\backslash beta\_j^-\; (r\_m^--r\_f\; )\_t$ is the product of the ‘down-market beta’ and the down-market excess return. $a\_j^+$, $\backslash beta\_j^+$, $a\_j^-$, and $\backslash beta\_j^-$ are the estimated parameters for up-market and down-market days, respectively; $r\_m^+=r\_m$ on days the market index did not decline and $r\_m^-=r\_m$ on days it did; $D$ is a dummy variable, which takes the value of 1 when the market index daily return is non-negative and zero otherwise.”〔 “The final term, $\backslash epsilon\_t$, reflects the idiosyncratic information not proportional to either the up-market or down-market excess returns.”〔 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Dual-beta」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.