relevant measure of risk mayemerge by using the global
index.
Whiletheprocessofestimationofriskparametersisdifferent
for the APM, many of the issues raised relating to the
determinantsofriskintheCAPMcontinuetohaverelevance
for the APM.
ILLUSTRATION2.1:EstimatingCAPMRiskParametersfor
Disney
Inthisillustration,weestimatetheregressionbetaforDisney,
using monthly returns on the stock from January 1999 to
December 2003 andthereturnsontheS&P 500 indexasthe
proxy for the market.
28 Figure 2.4 graphs monthly returns on Disney against
returns on the S&P 500 index from January 1999 to
December 2003.
FIGURE 2.4Disney versus S&P 500, 1999–2003