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How to calculate Rm in CAPM equation ( Ke = Rf + beta*(Rm-Rf)
Amit plz send me the file. i would be highly obliged.
Replied Aug 30
How to calculate Rm in CAPM equation ( Ke = Rf + beta*(Rm-Rf)
wont this calculate Ke. I want to know how to calculate Rm.
Replied Aug 30
How to calculate Rm in CAPM equation ( Ke = Rf + beta*(Rm-Rf)
6 Replies
Please reply how to calculate return of the market.
Started this discussion. Last reply by Karan Aug 31.
Can equity beta be negative
Mr Sacha you talked about firm engaged in liquidation of firms. Do such companies exist in reality?
Replied Aug 30
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Be reminded that "beta" is merely an observation about a stock's return over some sample period, and not a permanent, immutable characteristic of that stock. "Betas" change over time.
Certainly it's possible for a firm to trade in such a way as to…
There are many ways of calculating return from the market like GARCH Model, EMWA model and many more.
if You wish i could send you the file where u have Rm calculated by using the Index.
Gold mining companies could theoretically have negative beta. As seen throughout the history, when markets are down and/or money loses value, people tend to turn to gold. Thus, gold mine could rise in value while everything else drops.
sorry.. the most basic way to calculate is to use geometric mean on the monthly return of sensex.
wont this calculate Ke. I want to know how to calculate Rm.
Use the regression in excel .. take your monthly stock return as a dependent vatiable and monthly martek return as your independent variable and run a regression on it. The slope coefficient of your independent variable is ur beta used in CAPM.
No. Some law firms have divisions engaged in liquidation but the law firms of course have many other businesses as well.
Honestly, I do not think of any firm having negative Rho over a sufficiently long period.
Please clear this doubt I have regarding equity betas.
Mr Sacha u talked about firm engaged in liquidation of firms .
Are such companies exist in real.???
"Beta should stand between -1 to +1"
I think you mean coefficient of correlation. There are thousands of firms with beta more than 1; and I have not really come across any that has beta less than 0 for a reasonably long period of estimation.
Hi Ankit,
Yes the equity beta can be negative too. Beta should stand between -1 to +1.
Let me explain this with an example. Say for instance, that the Reliance Group beta is -0.27 against the SENSEX. This means, if the SENSEX moves 1 point, the pr…
Beta of an asset
= SD(Asset returns)*SD(Market returns)* Rho(Asset returns, Market returns)/Variance (Market returns)
(Rho = Coefficient of correlation)
On the right hand side of this identity the only term that can have a negative value is Rho(Ass…
Typically, angel investing implies the the entrepreneur has an idea on a napkin or some a model that proves the concept. All start-ups are not "angel" investing, like starting a infra-structure projects or buying distressed real estate. For angel in…
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Comment Wall (1 comment)
- At 11:25pm on September 1, 2010,
Sachidanand (Sacha) Singh said…
- thanks, Ankit, for extending friendship
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