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- Topic: Beta for Bonds
| Author | Topic: Beta for Bonds |
|---|---|
| Sarang @2015-05-04 16:56:36 |
While we use CAPM and beta to calculate the price of equity, theoretically could we use the same methodology to calculate beta for a bond? i.e. take a bond index and the price of a bond, regress etc to come up with a benchmark yield? And what do we do with the coupon?? |
| stallionone @2015-05-12 19:58:12 |
With the CAPM, it's basically assumed that interest rates are fixed.
With bonds, you're primarily concerned with changes in interest rates (although credit downgrades etc are important). Later (L2 ? L3 ? I forget) you'll see that duration plays the same sort of role for bonds as duration does for equities |
| oliver @2015-05-14 09:14:27 |
I think you had a small typo at the bottom of your response. Duration plays the same sort of role for bonds as BETA does for equities. |
| Marleni @2015-05-19 17:56:51 |
Capm is not for Bonds |
| Silentdud @2015-06-26 17:01:01 |
You could use a beta for a bond, but by the time you had enough data to even derive a characteristic line, it would be too late OR the characteristic would have changed. Stocks have permno's and basically are infinite in terms of the time they exist. Bond's have a repayment date. |
