Market beta coefficient and enterprise risk management: A literature review

Abstract

One of the significant factors in the valuation of publicly listed firms is their market beta coefficient, commonly utilised in the capital asset pricing model (CAPM) as a proxy for stock volatility directly affecting market value. This article’s primary purpose is to explore the theoretical basis for future empirical research into the relationship between the market beta coefficient and enterprise risk management (ERM). The author explores academic literature about various researched variables affecting the market beta coefficient in the context of the neoclassical capital asset pricing model, which was founded on the premise of an efficient market hypothesis.