期刊名称：Journal of Knowledge Management, Economics and Information Technology
印刷版ISSN：2069-5934
出版年度：2011
卷号：1
期号：5
出版社：ScientificPapers.org
摘要：Beta [β], the simple regression slope of the returns of the Firm matched with those of the Market is a powerful financial signaling statistic in vogue since the 1960s, and still very much in use by financial analysts and firm decision makers. However, as there are a number of ways that one can obtain a measure of the period Firm-β, this begs the following question: Are there important differences in these various βs? If so, this opens up the possibility of agenda-serving game-driven signaling, and thereby compromises the reliability the β-information. We use the term “Market-β Mall” to indicate the temptation to go shopping for β in order to create a profile that would not be consistent as a Time-Benchmark for a particular firm. We show, clearly, that there are different measured values of β. Given the “adverse” selection implications, we suggest a simple way to maintain the reliably of this critical signal—the period β.
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