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Estimating a beta (Corporate Finance)
  • Estimating a beta (Corporate Finance)
Originally published: 20/06/2016 12:26
Last version published: 25/10/2016 08:18
Publication number: ELQ-37738-3
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Estimating a beta (Corporate Finance)

Compute and estimate a beta for a firm's stock/market index

Prof. Aswath Damodaranby Prof. Aswath Damodaran
Professor at NYU Stern School of BusinessFollow 1,062
NYU Stern School of Businesswith NYU Stern School of Business
An Education in PossibleFollow 56
19 reviews1,363 views|Start the discussion!|Bookmark download for free
performanceriskfinancestocksensitivitybetaestimatingjensen's alphamarket index
Description
This spreadsheet allows you to input past returns on a stock and a market index to analyse its price performance (Jensen's Alpha), its sensitivity to market movements (Beta) and the proportion of its risk that can be attributed to the market.

Note: this model is being shared with the authorization of Professor Aswath Damodaran from NYU Stern Business School (www.damodaran.com)

This Best Practice includes
1 Excel Model File

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Further information

The objective of this model is to get the following output values:

to estimate expected returns:
- risk free rate
- historical return premium
- expected return

to forecast prices:
- current price
- annualized DPS

- predicted prices (one to five years from now)


4.8 / 5 (19 votes)

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