On 7 November 2016, FTSE Russell, the global index provider, announced the creation of a new index, the FTSE All-World Ex CW Climate Balanced Factor Index, the first to combine a smart beta factor
approach alongside climate change considerations.
To apply the beta factor
for multiple fire sizes, an engineering design tool is created, similar to the smoke production tool.
Positive significant reaction has been found for a whole sample consisting of 95 announcements, the same result was found when company implementing ICT has beta factor
higher than 0.9.
The CAPM Assumptions The CAPM is a single-index model because systemic risk is prescribed entirely by one factor, the beta factor
. The CAPM is defined by random variables that are normally distributed, characterized by mean expected returns and covariance, upon which all investors agree (Allan Hill, 2010).
To determine the beta factor
in estimating their cost of equity, nearly two-thirds of companies use Bloomberg data.
Since no beta factor
yet exists for this, let's use a proxy figure based on the plastics industry to approximate the risk and hence (using the capital asset pricing model) the adjusted cost of equity of the new project.
In testimony, the IRS's expert had admitted that the beta factor
that the IRS used in both the original determination and the revised determination was incorrect (the beta factor
measures the tendency of a security's price to respond to market swings).
For the equally weighted case in Table 5, the risk-premium from the CAPM beta factor
is 9.23 percent, the risk-premium for the size factor is 0.51 percent, and the risk-premium for the BE/ME factor is 4.37 percent, for a total risk-premium of 14.16 percent, approximately twice as large as for the CAPM.
, A standard beta--indicating the norm--is 1.00.
Conway, "Beyond beta factors
: a complete model for Darcy, Forchheimer, and Trans-Forchheimer flow in porous media," in SPE Annual Technical Conference and Exhibition, Houston, TX, USA, 2004.
for public companies can be found in stock market services such as Value Line Investment Survey (Value Line Publishing, Inc.).