New answers tagged regression
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Definitions of Beta
One thing to note is that the CAPM can be rewritten as
$$r_i=r_f(1-\beta_i)+\beta_i r_m$$
Thus, one can identify $\alpha_i$ with $(1-\beta_i)r_f$.
Then, we we have, for the CAPM,
$$\beta_i=\frac {r_i-...
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Coefficients of univariate regressions equal to those in the multivariate regression
Is there a proof that shows that this is always the case when the correlations amongst your independent variables are 0?
This is a known result; see e.g. Kennedy "A Guide to Econometrics" (...
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