为什么Market risk是beta？

NO.PZ2018070201000094

问题如下：

Tim, an analyst of an investment company forecasts the return and deviation of below securities. Based on these information, which statement is most correct:

选项：

Security A has the least amount of market risk.

Security B has the least amount of market risk.

Security C has the least amount of market risk.

解释：

B is correct.

The beta value of security A is $= \frac{ρ_{A m} δ_{A}}{δ_{m}} =$ 1.4

The beta value of security B is $= \frac{ρ_{B m} δ_{B}}{δ_{m}} =$ 1.33

The beta value of security C is $= \frac{ρ_{C m} δ_{C}}{δ_{m}} =$ 1.5

Security B has the lowest beta value, therefore, it has the lowest amount of market risk.

好像没有印象在讲义上看到beta代表的是market risk，怎么理解这个关系呢？

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1 个答案

伯恩_品职助教 · 2025年01月31日

嗨，爱思考的PZer你好：

beta值，是一种风险指数，用来衡量个别股票或股票基金相对于整个股市的价格波动情况。因为是和整个股市直接的关系，所以只有，market risk才会有影响

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NO.PZ2018070201000094 问题如下 Tim, analyst of investment company forecasts the return anviation of below securities. Baseon these information, whistatement is most correct: A.Security A hthe least amount of market risk. B.Security B hthe least amount of market risk. C.Security C hthe least amount of market risk. B is correct.The beta value of security A is=ρAmδAδm=1.4The beta value of security B is =ρBmδBδm=1.33The beta value of security C is=ρCmδCδm=1.5Security B hthe lowest beta value, therefore, it hthe lowest amount of market risk. Market Risk 难道不应该指的是系统性风险吗？比如加息等。我看了看别的同学问的问题，我觉得助教回答不是很靠谱，“这道题的市场风险就是非系统性风险”。是教材里面明确这么写的吗（Market Risk = B)？如果是的话那我会改变我的立场，如果教材里没有明确写，我会觉得加息等行为是市场风险。

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