import numpy as npimport pandas as pdimport statsmodels.api as sm# 假设这里有股票和市场的历史回报率数据stock_returns = pd.Series([...])market_returns = pd.Series([...])risk_free_rate = ...# 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_rateY...
# 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...
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...
Risk-return models are silent on the time period one needs to use to estimate betas. While selecting a time period for beta estimation, one must be careful of the trade-off involved. By going back further in time, although there’s an advantage of including more observations in the regressi...
You start by subtracting the risk-free rate of return from both the security in question and the benchmark. In this case, our asset’s rate of return net of the risk-free rate would be 12% (14% – 2%). The same calculation for the benchmark would yield 6% (8% – 2%). ...
A stock has a beta of 1.13, the expected return on the market is 10.7% and risk-free rate is 4.6%. What is the expected return? CAPM: CAPM stands for the capital asset pricing model. This approach helps to determine the required rate...
问:adjust beta将组合系统性风险敞口调整为0,synthectic cash的系统性风险也为0,两者有什么本质区别呢?考试中是否可能出现一个题目中给出了一些迷惑信息比如同时给出了 equtiy future beta, risk free rate, dividend rate, invest period, 并且没有明说是调beta还是syntectic position,如何判断?
A company's equity beta is 1.3. The risk-free rate is 5% and the market risk premium is 6%. What is the company's cost of equity? What is the company's cost of equity capital if MJI's common stock has a beta of 1.0,...
Cost of Equity (ke)Capital Asset Pricing Model (CAPM)Risk Free Rate (rf)Beta (β)Equity Risk Premium (ERP)Country Risk Premium (CRP) Cost of Debt (kd) Cost of Debt (kd)Interest Tax Shield Cost of Preferred Stock (kp) Cost of Preferred Stock (kp) Private Company Valuation WACC fo...
Rf = risk-free returnBa = Asset’s betaE (Rm) = Expected market return CAPM model states that the expected return of an asset ‘E (Ra)’ is equal to the risk-free return in the market plus the difference between the expected return of the market and risk-free rate ‘[E (Rm) - ...