core.ecu.educore.ecu.edu/.../ec3343-course-paper-equations.docx · Web viewHere are Microsoft...
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Here are Microsoft Word equations with the six population regression models for the project. Model 1: Simple CAPM R t −R ft =α+ β M ( R Mt −R ft ) +ϵ t . Model 2: Simple CAPM Plus ‘Change in Risk Premium’ Measure R t −R ft =α+ β M ( R Mt −R ft ) +β c CRP t + ϵ t . Model 3: Simple CAPM Plus ‘Small Minus Big’ Size Premium Measure R t −R ft =α+ β M ( R Mt −R ft ) +β s SMB t +ϵ t . Model 4: Simple CAPM Plus ‘High Minus Low’ Value Premium Measure R t −R ft =α+ β M ( R Mt −R ft ) +β h HM L t +ϵ t . Model 5: Fama and French Three-Factor Model R t −R ft =α+ β M ( R Mt −R ft ) +β s SMB t +β h HM L t +ϵ t . Model 6: Combined Model R t −R ft =α+ β M ( R Mt −R ft ) +β c CR P t + β s SM B t +β h HM L t + ϵ t .
Transcript of core.ecu.educore.ecu.edu/.../ec3343-course-paper-equations.docx · Web viewHere are Microsoft...
Here are Microsoft Word equations with the six population regression models for the project.
Model 1: Simple CAPM
Rt−Rft=α+βM (RMt−R ft )+ϵ t .
Model 2: Simple CAPM Plus ‘Change in Risk Premium’ Measure
Rt−Rft=α+βM (RMt−R ft )+βcCRP t+ϵ t .
Model 3: Simple CAPM Plus ‘Small Minus Big’ Size Premium Measure
Rt−Rft=α+βM (RMt−R ft )+β sSM Bt+ϵ t .
Model 4: Simple CAPM Plus ‘High Minus Low’ Value Premium Measure
Rt−Rft=α+βM (RMt−R ft )+βhHM Lt+ϵ t .
Model 5: Fama and French Three-Factor Model
Rt−Rft=α+βM (RMt−R ft )+β sSM Bt+βhHM Lt+ϵ t .
Model 6: Combined Model
Rt−Rft=α+βM (RMt−R ft )+βcCRP t+βsSM B t+βhHM Lt+ϵ t .
