The capital asset pricing model

Reference no: EM13779165

Assignment:

The capital asset pricing model (CAPM) can be written as

E(R_i) = R_f + β_i[E(R_m)-R_f]

To estimate the stock's beta, the model can be written as

R_it = α_i + β_iR_mt + u_it, where variables are expressed as excess returns.

Using the data on prices of Apple and S&P 500 index and the Treasury Bill rate provided in the attachment, estimate the beta for Apple.

Using the results of the estimation, test a hypothesis that apple is riskier than the market.

Attachment:- Assignment ECO.xlsx

Reference no: EM13779165

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