CAPM: Capital Asset Pricing Model

In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager

Description

CAPM describes the relationship between risk and (expected) return

Usage

CAPM(R, Rmkt)

Arguments

R	asset returns
Rmkt	market returns

Details

Retrieves alphas, betas, as well as pvalue and tstats. The CAPM is used to determine a theoretically appropriate rate of return of the non-diversifiable risk of an asset.

Author(s)

Thomas Fillebeen

Examples

data(crsp.short)

head(largecap.ts)

Rf <- largecap.ts[, "t90"]
R <- largecap.ts[, "CAT"] - Rf
MKT <- largecap.ts[, "market"] - Rf

# Fit the CAPM model
tmp <- CAPM(R=R, Rmkt=MKT)

GARPFRM documentation built on May 2, 2019, 5:45 p.m.