Beta is in the Eye of the Beholder

11 Pages Posted: 3 Nov 2010  

Ana Cascon

Omega Analysis

William F. Shadwick

Omega Analysis

Date Written: October 11, 2010

Abstract

In Cascon and Shadwick (2006) we extensively discussed the use of models in finance. We pointed out how ideas that have become generally accepted often depend on assumptions that, as time passes, are likely to be unstated or even forgotten entirely, with potentially significant consequences. In this article we will use the same philosophy to examine the conventional model for alpha and beta in investment returns. As in Cascon and Shadwick (2007), we find here that the assumption that standard deviation is an appropriate proxy for risk plays a large role.

Keywords: Standard Deviation, Standard Dispersion, Alpha, Beta

JEL Classification: G11, G14

Suggested Citation

Cascon, Ana and Shadwick, William F., Beta is in the Eye of the Beholder (October 11, 2010). Journal of Investment Consulting, Vol. 11, No. 1, pp. 18-28, 2010. Available at SSRN: https://ssrn.com/abstract=1690725

Ana Cascon (Contact Author)

Omega Analysis ( email )

40 Bowling Green Lane
London, EC1R 0NE
United Kingdom
44 (0) 7970 938 875 (Phone)
44 (0) 207 415 7084 (Fax)

William F. Shadwick

Omega Analysis ( email )

40 Bowling Green Lane
London, EC1R 0NE
United Kingdom

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