capm: Stock indices

In HRW: Datasets, Functions and Scripts for Semiparametric Regression Supporting Harezlak, Ruppert & Wand (2018)

Description

Daily returns on the Standard & Poors' 500 stock market index, daily rate of the U.S. Treasury bills, and 3 companies' stocks including Microsoft, the General Electric and the Ford Motor Company during the period from November 1, 1993 to March 31, 2003.

Usage

data(capm)

Format

A data frame with 2363 observations on the following 6 variables:

Close.tbill

Daily Treasury bill rate expressed as a percentage.

Close.msft

Daily closing price of the Microsoft stock.

Close.sp500

Daily closing Standard and Poor's 500 index.

Close.ge

Daily closing price of the General Electric stock.

Close.ford

Daily closing price of the Ford Motor Company stock.

Date

Dates from November 1, 1993 to March 31, 2003 (d-Mon-yy and dd-Mon-yr formats).

Source

Federal Reserve Bank of St. Louis U.S.A. (Treasury bill rates) and Yahoo Finance (stock prices).

Examples

# The Capital Asset Pricing Model (CAPM) states that the excess returns on a stock 
# have a linear relationship with the returns on the market. This example investigates
# the CAPM for General Electric stock:

library(HRW) ; data(capm)
n <- dim(capm)[1]
riskfree <- capm$Close.tbill[2:n]/365
elrGE <- diff(log(capm$Close.ge)) - riskfree
elrSP500 <- diff(log(capm$Close.sp500)) - riskfree
plot(elrSP500,elrGE,col = "blue",cex = 0.2)
fitOLS <- lm(elrGE ~ elrSP500)
summary(fitOLS)
par(mfrow = c(2,2)) ; plot(fitOLS)

HRW documentation built on Nov. 23, 2021, 9:07 a.m.