Rで学ぶ株式評価
Cliff Ang
Senior Vice President, Compass Lexecon
CAPMの数式は以下の通りです：
$$ E(R_i) = R_f + \beta_i (R_m - R_f) $$
ここで
ベータは通常、以下の市場モデル回帰を用いて推定されます：
$$ R_i = \alpha + \beta \times R_m $$
（CAPMと異なり、市場モデルにリスクフリーレートはありません！）
回帰分析には通常、以下の条件を使用します
# Calculate stock return rets <- Delt(prices$firm_ret) # Calculate market return rets$spy <- Delt(prices$spy) # Rename first variable names(rets)[1] <- "firm_ret" # Remove first observation - NA rets <- rets[-1, ] # Run regression reg <- lm(myl ~ spy, data = rets) # Extract beta beta <- summary(reg)$coeff[2]
# Calculate stock return rets <- Delt(prices$firm_ret)
# Calculate market return rets$spy <- Delt(prices$spy)
# Rename first variable names(rets)[1] <- "firm_ret"
# Remove first observation - NA rets <- rets[-1, ]
# Run regression reg <- lm(myl ~ spy, data = rets)
# Extract beta beta <- summary(reg)$coeff[2]
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