CAPM and Factor Models
Objectives
- Describe risk and return in an empirical asset pricing setting
- Estimate risk factors using Excel
Reading
- Chapter 8: The CAPM
- Chapter 9: The CAPM
- Chapter 10: Arbitrage Pricing Theory
Assignment
- Estimate Beta
CAPM and APT Lecture
Andrew Lo @ MIT in 2008
The Capital Asset Pricing Model
CAPM Introduction
What is Beta?
Portfolio Beta
Systematic vs Idiosyncratic Risk
Security Market Line
Capital Market Line
Estimate Beta
Video Example: CAPM Regression and Regression Results
Equity Risk Premium
Aswath Damodaran @ NYU