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Results tagged with capm
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user 17835
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.
8
votes
Is CAPM a cross sectional or time series model?
To answer your question directly: CAPM is a cross-sectional model, and is NOT a time series model. … CAPM aims at explaining variance of single asset's return by overall market return of the same period. …
- 712
6
votes
How to use factor models for prediction?
You kinda mentioned in your questions, but the predictive model is essentially a lagged version of the "factor model". Part of the problem comes from the subscripts, the model itself doesn't really co …
- 712