Difference between revisions of "Capm"
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| + | [[Category:Financial_Functions]] | ||
[[Category:Doc Status C]] <!-- For Lumina use, do not change --> | [[Category:Doc Status C]] <!-- For Lumina use, do not change --> | ||
| − | == | + | ==Capm(rf, rm, beta) == |
Calculates the expected stock return under the Capital Asset Pricing Model on a stock or list of stocks. | Calculates the expected stock return under the Capital Asset Pricing Model on a stock or list of stocks. | ||
| − | + | ||
| − | + | The required parameters are «rf» (risk free rate), «rm» (market return), and «beta» (beta of individual stock), all as numbers. «Beta» is the relative marginal contribution of the stock to the market return, defined as the ratio of the [[covariance]] between the stock return and market return, to the [[variance]] in the market return. | |
| − | + | ||
| − | + | [[Capm]] is defined as | |
| − | + | :<code>rf + beta*(rm - rf)</code> | |
| − | ;Library | + | |
| − | + | [[Syntax]]: | |
| + | :[[Capm]](rf, rm, beta: Numeric) | ||
| + | |||
| + | ==Example== | ||
| + | :<code>Capm(0.08, 0.12, 1.5) → 0.14</code> | ||
| + | |||
| + | ==Library== | ||
| + | [[Financial library functions]] | ||
| + | |||
| + | ==See Also== | ||
| + | * [[CostCapme]] | ||
| + | * [[CostCapmm]] | ||
| + | * [[Financial functions]] | ||
| + | * [[Financial library functions]] | ||
Revision as of 20:44, 19 January 2016
Capm(rf, rm, beta)
Calculates the expected stock return under the Capital Asset Pricing Model on a stock or list of stocks.
The required parameters are «rf» (risk free rate), «rm» (market return), and «beta» (beta of individual stock), all as numbers. «Beta» is the relative marginal contribution of the stock to the market return, defined as the ratio of the covariance between the stock return and market return, to the variance in the market return.
Capm is defined as
rf + beta*(rm - rf)
- Capm(rf, rm, beta: Numeric)
Example
Capm(0.08, 0.12, 1.5) → 0.14
Library
See Also
Comments
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