悬赏100金币：关于不同BETA的定义和区别

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鉴于此贴无人问津~~~这里悬赏答案吧，分析的比较好比较到位的我会给20~100金币的奖励哦，大家帮帮忙嘛

最近在试着做一个金融计算器，用来计算上市公司的BETA，WACC之类的数据
思考之后这几个概念的定义和区别让我很困扰，希望高手们能来指导一下
BETA
unleveraged BETA
leveraged BETA
adjusted BETA
adjusted historical BETA
希望能简要给出定义和区别，然后他们各自如何计算的，如果能介绍下用途和优缺点就更好了
谢谢大家~~~

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关键词：悬赏100 100金币 beta ETA Bet 求助 定义 悬赏 beta

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求高人指点

继续顶下，求解答，分析的比较好比较到位的我会给50+金币奖励哦

beta:
A measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole. Beta is used in the capital asset pricing model (CAPM), a model that calculates the expected return of an asset based on its beta and expected market returns. Beta is calculated using regression analysis, and you can think of beta as the tendency of a security's returns to respond to swings in the market. A beta of 1 indicates that the security's price will move with the market. A beta of less than 1 means that the security will be less volatile than the market. A beta of greater than 1 indicates that the security's price will be more volatile than the market. For example, if a stock's beta is 1.2, it's theoretically 20% more volatile than the market.

Unlevered Beta:
A type of metric that compares the risk of an unlevered company to the risk of the market.  The unlevered beta is the beta of a company without any debt. Unlevering a beta removes the financial effects from leverage.  The beta of a leveraged required return; that is, the beta as adjusted for the degree of leverage in the firm's capital structure.

Leveraged Beta:
The beta of a leveraged required return; that is, the beta as adjusted for the degree of leverage in the firm's capital structure.

Adjusted Beta:
An estimate of a security's future beta that involves modifying the security's historical (measured) beta owing to the assumption that the security's beta has a tendency to move over time toward the average beta for the market or the company's industry.

adjusted historical BETA:
An estimate of a security’s future beta. It uses the historical data of the stock, but assumes that a security’s beta moves toward the market average over time. The formula is as follows:
Adjusted beta = (.67) * Raw beta + (.33) * 1.0

学习了,谢谢 5# saviourlee

谢谢5楼，然后我想问下
一般的BETA计算公式
BETA=cov(Rm,Rp)/var(Rm)   
Rm是市场收益率，Rp是组合或者单个证券的收益率
这个公式算出来的BETA是leveraged还是unlevered BETA呢？
然后我知道他们2个之间的转换公式
Bu=Bl/(1+D/E*(1-T))
Bu:unlevered beta
Bl:leveraged beta
D:total debt
E:total equity
T:tax rate
但是他们本身需要怎么计算呢？（这个问题跟前面那个问题有一些重复）

BETA=cov(Rm,Rp)/var(Rm)  
这是leveraged Beta。 因为R_p是存在杠杆情况下的equity的收益率（实际的capital structure）
通过计算leveraged Beta,可以推导出Unleveraged Beta。
required return on equity： r_E= r_f + Beta_Leveraged * ( r_M - r_f)    这是熟悉的CAPM， 同理：
required return on asset(unlevered equity):    r_A  = r_f + Beta_UnLeveraged * ( r_M - r_f)

由MM Proposition 2,
r_A = (E * r_E + D *  (1-T) * r_D) / (E + (1-T)*D)

总之， Leverage/Unleverage之类的都在MM框架下。

而
WACC = r_E * (E/A) + (1-T)  * r_D * （D/A）
A= D + E

所以当不考虑tax (T=0)， WACC = r_A = r_f + Beta_UnLeveraged * ( r_M - r_f)

区分这么多词汇，我觉得最大的意义在于，计算NPV时， cashfow要和相应的funding cost匹配。

此外，提醒一下要注意Beta_unleverage=B_leverage/(1+D/E*(1-T)) 的背后关键假设：
1. The Hamada formula is based on Modigliani and Miller’s formulation of the tax shield values for constant debt, i.e. when the dollar amount of debt is constant over time. The formulas are not correct if the firm follows a constant leverage policy, i.e. debt capital remains at a constant percentage of equity capital, with continuous (the Harris-Pringle equation) or periodic (the Miles-Ezzell equation) rebalancing of the capital structure.

2. The beta of debt βD equals zero. This is the case if debt capital has negligible risk that interest and principal payments will not be made when owed, which implies that tax deductions on the interest expense will be realized in the period in which the interest is paid.

3. The discount rate used to calculate the tax shield is assumed to be equal to the cost of debt capital (thus, the tax shield has the same risk as debt). This and the constant debt assumptions imply that the value of the tax shield is proportionate to the market value of debt capital (i.e., Tax Shield = T×D).


http://en.wikipedia.org/wiki/Hamada%27s_equation

Sample Aplication of Beta/WACC concepts