R/rbeta.r

In egoodwintx/corpRate: A collection of R tools useful for corporate finance

# ## calculate beta of a stock
# #Packages required
# require(PerformanceAnalytics)
# require(quantmod)
# library(pbkrtest)
# require(car)
#
# startdate = "2003-01-01"
# enddate = "2015-01-12"
#
# #Here we get the symbols for the SP500 (GSPC), FI, and 5yr Treasuries (GS5)
# getSymbols("^GSPC", src = "yahoo", from = as.Date(startdate), to = as.Date(enddate))
# getSymbols("XOM", src = "yahoo", from = as.Date(startdate), to = as.Date(enddate))
# getSymbols("GS5", src = "FRED", from = as.Date(startdate), to = as.Date(enddate))
#
# #Market risk R_m is the arithmetic mean of SP500 from 2009 through 2011
# #Riskfree rate is arithmetic mean of 5yr treasuries
# marketRisk<- mean(yearlyReturn(GSPC['2003::2015']))
# riskFree <- mean(GS5['2003::2015'])
#
# #use weekly returns taken on wednesday
# #
# #weeklyReturn()
# FI.weekly <- subset(FI,weekdays(time(FI))=='Wednesday')
# FI.weekly <- weeklyReturn(FI['2014::2015'])
# GSPC.weekly <- subset(GSPC,weekdays(time(GSPC))=='Wednesday')
# GSPC.weekly <- weeklyReturn(GSPC['2014::2015'])
#
# #Here I use PerformanceAnalytics functions for alpha+beta
# #Then we calculate Cost of equity using our calculated figures
# FI.beta <- CAPM.beta(FI.weekly,GSPC.weekly)
# FI.alpha <- CAPM.alpha(FI.weekly,GSPC.weekly)
# FI.expectedReturn <- riskFree + FI.beta * (marketRisk-riskFree)
#
# #For my graph, I want to show R^2, so we get it from the
# #lm object FI.reg
# FI.reg<-lm(FI.weekly~GSPC.weekly)
# FI.rsquared<-summary(FI.reg)$r.squared
#
# FI.WACC = (0.3)*(0.05) + (0.7)*FI.expectedReturn
#
# #Lastly, we graph the returns and fit line, along with info
# plot(100*as.vector(GSPC.weekly),
#             100*as.vector(FI.weekly),
#             smooth=FALSE,
#             main='FI vs. S&P 500 2014-2015',
#             xlab='S&P500 Returns',
#             ylab='FI Returns',boxplots=FALSE)
# abline(FI.reg)
#
# text(1,-7,paste('y = ',
#                  signif(FI.alpha,digits=4),
#                  ' + ',
#                  signif(FI.beta,digits=5),
#                  'x \n R^2 = ',
#                  signif(FI.rsquared,digits=6),
#                  '\nn=',
#                  length(as.vector(FI.weekly)),
#                 '\nWACC = ', FI.WACC,
#                  sep=''),font=2)
#
#
# ## other beta code
# start_date <- "2012-01-01"
# acad <- getSymbols("^OSX", from = start_date, auto.assign = F)
# spy <- getSymbols("SPY", from = start_date, auto.assign = F)

# r<-function(x) {m<-to.monthly(x[,6])[,4];diff(m)/lag(m)}
#
# coef(lm(r(acad)[2:37]~r(spy)[2:37]))