A statistical index of the sensitivity of an asset's price change to changes in the value of the overall market or of assets in general is the:
A) Variance.
B) Standard deviation.
C) Correlation coefficient.
D) Beta.
E) None of the above.

Question

Quizplus · Accepted Answer

Beta is the statistical measure that indicates the sensitivity of an asset's returns to the returns of the overall market or a specific benchmark. It is used in the Capital Asset Pricing Model (CAPM) to calculate the expected return of an asset based on its beta and the expected market returns.

A Statistical Index of the Sensitivity of an Asset's Price