EstCAPM: Estimate the CAPM model
In yukai-yang/FE: Data Sets and Functions for the Course "Financial Econometrics"

This function estimates the Sharpe-Lintner CAPM model as follows:

Z_t = α + β Z_{mt} + \varepsilon_t.

where Z_t is the excess returns for N assets, Z_{mt} is the excess return of the market portfolio.

1	EstCAPM(mZ, vZm)

`mZ`	matrix of the excess returns for N assets with dimension T by N.
`vZm`	vector of the excess returns of the market portfolio.

a list containing the following results:

`alpha`	estimated alpha.
`beta`	estimated market beta.
`mE`	matrix of the residuals.
`Sigma`	estimated covariance matrix of the errors.

mR = portfolio_m[,25:124]
vRm = portfolio_m[,3]
vRf = portfolio_m[,4]

mZ = mR - c(vRf)
vZm = vRm - c(vRf)

ret = EstCAPM(mZ, vZm)

yukai-yang/FE documentation built on May 29, 2019, 12:19 p.m.

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