CAPM and Factor Models


  • Describe risk and return in an empirical asset pricing setting
  • Estimate risk factors using Excel


  • Chapter 8: The CAPM
  • Chapter 9: The CAPM
  • Chapter 10: Arbitrage Pricing Theory


  • 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

Arbitrage Pricing Theory

Multifactor Models

Fama and French 3

Fama and French 6

q-factor Model

Optional Advanced Topics

The Cross Section of Returns

John Cochrane @ UChicago

Risk Premiums and Betas

John Cochrane @ UChicago


John Cochrane @ UChicago

Momentum and Reversal

John Cochrane @ UChicago