用 R 进行股权估值
Cliff Ang
Senior Vice President, Compass Lexecon
从数学上，CAPM 表达为：
$$ E(R_i) = R_f + \beta_i (R_m - R_f) $$
其中：
贝塔通常用如下市场模型回归估计：
$$ R_i = \alpha + \beta \times R_m $$
（与 CAPM 不同，市场模型不含无风险利率！）
回归通常使用：
# 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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