在 R 進行股權估值
Cliff Ang
Senior Vice President, Compass Lexecon
從數學上，CAPM 表示如下：
$$ E(R_i) = R_f + \beta_i (R_m - R_f) $$
其中
Beta 通常以以下市場模型迴歸來估計：
$$ R_i = \alpha + \beta \times R_m $$
（與 CAPM 不同，市場模型中沒有無風險利率！）
迴歸通常採用：
# 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]
Preparing Video For Download...
