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

Equity Risk Premium

  • Lecture by Aswath Damodaran @ NYU

Estimate Beta

  • Example: Regression Results

Arbitrage Pricing Theory

Fama and French Models

q-factor Model

Optional Advanced Topics

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