北京大学：《证券投资学》课程PPT教学课件（MBA）第五章 CAPM的应用

2.Beta值的估计

2. Beta值的估计

利用市场模型估计 An approach to estimating o, and el] is to assume that a market model and the CAPm) describes returns The market model ri-ra=a,+B,(M-rn)+Ein To get expected returns use: E[]-r,=BE]-ro) To get covariances/correlations, use: BiB,OM BB.o For standard deviations B

利用市场模型估计 ◼ An approach to estimating and is to assume that a market model ( and the CAPM) describes returns ◼ The market model ◼ To get expected returns use: ◼ To get covariances /correlations, use: ◼ For standard deviations:   (   ) i f i M f E r − r =  E r − r  i E r  ij 2  ij = i  j  M i j i j M ij       2 = 2 2 2 2  ii =i = i  M +i ( ) it ft i i Mt ft it r − r = +  r − r +