# 将市场回报率作为自变量(X),股票回报率作为因变量(Y) X = market_returns - risk_free_rate Y = stock_returns - risk_free_rate # 添加常数项以进行截距计算 X = sm.add_constant(X) # 构建回归模型 model = sm.OLS(Y, X).fit() # Beta值为市场回报率的系数 beta = model.params[1] # Alp...
Alpha的计算方式是通过回归分析,将资产的实际回报与其Beta值和市场回报之间的关系进行比较。 示例: 假设您正在考虑一只股票,它的Beta为1.2,市场的平均回报为10%,而这只股票的实际回报为12%。 计算Alpha: Alpha = 实际回报 - [Risk-Free Rate + Beta * (市场回报 - Risk-Free Rate)] 假设无风险利率(Risk-Fre...
Return = Risk-free rate + Beta x (Market Return - Risk-free rate) 通过这个公式,可以预测资产的收益率,也可以计算出该资产的风险溢价。贝塔越高,风险溢价越高,预测的收益率也越高。 CAPM模型的应用范围广泛,可以用于预测股票、债券、房地产等各种资产的收益率。但是,CAPM也有着一些局限性和假设,例如假设资产...
is the risk free rate, and Km is the rate of return of the appropriate asset class. Beta选择语言:从 到 翻译结果1翻译结果2 翻译结果3翻译结果4翻译结果5 翻译结果1复制译文编辑译文朗读译文返回顶部 是无风险利率,并公里,是适当的资产类别的回报率。测试 翻译结果2复制译文编辑译文朗读译文返回顶部 ...
(redirected fromBeta Risk) Medical Financial Related to Beta Risk:Alpha Risk beta error n.Statistics Seetype II error. American Heritage® Dictionary of the English Language, Fifth Edition. Copyright © 2016 by Houghton Mifflin Harcourt Publishing Company. Published by Houghton Mifflin Harcourt Publ...
R(risk-free)可以参考3年期,5年期国债什么的,然而在日本这个Rate居然是负的。 R(m)的话参考大盘指数日经225。 然后就是一个OLS回归方程,求系数Beta. importpandasaspdimportdatetimeasdtimportnumpyasnpimportpandas_datareader.dataaswebimportyfinanceasyfn255=yf.download('^N225',period='1y',interval="1d"...
aREE composition in scheelite and scheelite Sm-Nd dating for the Xuebaoding W-Sn-Be deposit in Sichuan REE构成在约会为Xuebaoding的白钨矿和白钨矿SmNd W Sn是储蓄在四川 [translate] aGiven the risk-free rate and the beta of an asset 假使无风险的率和beta财产 [translate] ...
Now, Company A can use this re-levered beta, the risk-free rate, and the market risk premium to come up with the cost of equity. Why do we Unlever and Relever Beta? Now that we know what is unlevering and relevering beta, we are in a position to answer – why do we unlever and...
The risk-free rate is the same as in the Beta formula, while the Beta that you’ve already calculated is simply placed into the CAPM formula. The expected return of the market (or benchmark) is placed into the parentheses with the market risk premium, which is also from the Beta formula...
Jensen's Alpha:Jensen's Alphais similar to traditional alpha but is calculated using a different method. It measures the excess return of an investment relative to its expected return based on its beta and the risk-free rate. Jensen's Alpha is used to assess whether a portfolio manager has...