In finance, CAPM is a single-factor regression model used for analyzing (and predicting) excess stock returns. There are better, more accurate models, but it has its uses. For example, the *market ...

This project assesses the validity of using the Capital Asset Pricing Model for cryptocurrencies (Bitcoin and Ethereum). It explores the assumptions and derivations assosciated with simple linear ...

Multiple regression and regression diagnostics. Generalised linear models; the exponential family, the linear predictor, link functions, analysis of deviance, parameter estimation, deviance residuals.

Embedding disasters into an investment-based asset pricing model induces strong nonlinearity in the pricing kernel. Our single-factor model reproduces the failure of the CAPM in explaining the value ...