Measuring Systematic Risk Using Implicit Beta
提出一种新技术，通过股票与市场指数交换期权的价格来揭示股票的隐含贝塔，从而实时、精确地度量企业的系统性风险，对金融理论和实践有重要价值。
A new technology is proposed for estimating the systematic (beta) risk of a firm's stock. Just as the implicit volatility of an asset is revealed by an ordinary call option, the “implicit beta” of a stock would be revealed by the price of an option to exchange shares of stock for shares of a market index. Considerable benefits would accrue to those involved with the theory and practice of finance, if and when these exchange options begin trading, due to the availability of instantaneous, up-to-the-minute, precise indicators of firms' systematic risk levels.