Читать книгу Applied Mergers and Acquisitions - Robert F. Bruner - Страница 93

This is a measure of the historical volatility of a firm’s share price relative to the entire stock market. More precisely, it measures the degree to which investors in that firm’s shares will assume systematic risk, or risk that cannot be diversified away through portfolio diversification. Ordinarily, betas for firms in the same industry will tend to cluster together around a similar value. Outliers should be studied for causes of their different risk. Also, using the Bloomberg financial data retrieval system, one can estimate betas for firms over different historical periods, and thereby determine the extent to which their systematic risk is changing. Betas have a statistical tendency to drift toward the value, 1.0, over long time periods. Bloomberg and other sources report raw betas, as well as betas that have been adjusted for their drift. Both betas should be studied. Sudden material changes in beta, especially away from 1.0, can be clues about strategic themes.