I have been attempting to do a cross-sectional test of the CAPM.
To do this, i have estimated the betas of 49 industry portfolios with time -series data. And then done a cross sectional regression, where i regressed the mean excess returns on the estimated betas, with a forced intercept of 0, to get the security market line.
And i got the following result:
How can i test if the residuals (pricing errors) are significantly different from 0 with R?
I am trying to do what is described in this video: https://www.youtube.com/watch?v=zxTfVIWZg34 but i lack the R knowledge to actually perform the test.