Questions tagged [capm]

The capital asset pricing model is a model that allows to determine the theoretical rate of asset returns required by an investor, given the asset systematic risk or market risk.

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Package ‘PerformanceAnalytics’ - Risk-free rate : Trouble using CAPM.beta() function

This is the first time I use the Package ‘PerformanceAnalytics’. I have a problem when it comes to use "Rf" (risk-free rate) when using the CAPM.beta. I use EONIA as a proxy for the risk free-rate. ...
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CAPM test methodology

Setting If we test the CAPM using Fama-MacBeth regressions we do the following: First, run cross-sectional regressions to determine the beta loading $$ R^i_t- r^f_t = a_i +\beta_i (R^M_t- r^f_t) + \...
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CAPM betas at different horizons

When taking capital budgeting decisions appropriate cost of capital should depend on the horizon of the investment. So the beta of a stock, i.e. it's covariance with the market should depend on the ...
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what is a reasonable beta in CAPM?

I want to predict expected returns for assets using a CAPM, to calculate unexpected (unpredictable, idiosyncratic, non-systemic) returns in portfolios. My CAPM estimated on monthly total gross ...
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Question 1.18 from Hull's Financial Risk management CAPM

A portfolio manager maintains an active portfolio with beta of 0.2. Risk-free rate is 5% The market return for a particular year is -30% The fund produced a result of -10%. He claimed the return was ...