Betavärdet som riskestimat

Sammanfattning: As stocks have become a more common way for people to save their money, the range of financial information has had a substantial increase. To understand the assumptions that stock valuation and analysis are built upon, it is important for the reader to have an understanding for the models that are used by banks and institutions when recommendations are published. The cash flow model, which is the most commonly used stock valuation tool, is based on CAPM. This model describes the relationship between an assets return and its risk in relation to an index. The risk parameter is called the beta value and has grown to be the dominating risk factor within financial economics literature. The use of beta values has been widely discussed in the world of academics and some researchers claim that the degree of explanation brought about by the beta is so low that it should be discarded, others are faithful to the beta and believe that it still serves a purpose. As a result of this criticism other ways to calculate the beta have surfaced, models that take other factors of risk into consideration. One of these “adjusted betas” is the Bottom-up beta which considers a business financial structure, cost structure and the level of risk of the industry when calculating the beta value. This is where our study takes its starting point. The study aims to find out if the beta value can explain the unsystematic risk on the Swedish market. It further investigates whether the Bottom-up beta has a higher degree of explanation than the traditional beta calculated over different periods of time and with different intervals of result. The results show that the Bottom-up beta to a high degree can explain the unsystematic risk on the Swedish market. It is however hard to rank the different beta values by falling degree of explanation since the differences between them can be caused by random elements. The study also shows that all methods for calculating beta values tend to underestimate the true beta value. Some differences in returns between high and low risk stocks have also been found where low risk stocks have performed a lot better than what CAPM recommends.