Difference between revisions of "Capm"
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Capm(0.08, 0.12, 1.5) → 0.14 | Capm(0.08, 0.12, 1.5) → 0.14 | ||
; Expects: '''rf''' (risk free rate), '''rm''' (market return), and '''beta''' (beta of individual stock) all as numbers. <br>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. | ; Expects: '''rf''' (risk free rate), '''rm''' (market return), and '''beta''' (beta of individual stock) all as numbers. <br>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. | ||
| − | ; Function definition: rf + beta*(rm-rf) | + | ; Function definition: rf + beta * (rm - rf) |
;[[Syntax]]: Capm(rf,rm,beta:Numeric) | ;[[Syntax]]: Capm(rf,rm,beta:Numeric) | ||
;Library: [[Financial functions]] | ;Library: [[Financial functions]] | ||
;More Examples and Tips: ''None yet.'' | ;More Examples and Tips: ''None yet.'' | ||
Revision as of 19:13, 25 June 2007
Function Capm(rf,rm,beta:Numeric)
Calculates the expected stock return under the Capital Asset Pricing Model on a stock or list of stocks.
- Example
Capm(0.08, 0.12, 1.5) → 0.14
- Expects
- 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. - Function definition
- rf + beta * (rm - rf)
- Syntax
- Capm(rf,rm,beta:Numeric)
- Library
- Financial functions
- More Examples and Tips
- None yet.
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