Is it possible to estimate a beta value of a time series data (stock) using the CAPM model on NumXl?

• Official comment

  

  Mohamad

  January 31, 2017 20:36 (Edited January 31, 2017 20:36)

  Check out the white paper on calculating CAPM beta using the regression functions in NumXL

  http://www.spiderfinancial.com/support/documentation/numxl/white-paper/financial-markets/calculating-capm-beta

   

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• 

  Mohamad

  March 31, 2013 20:14

  To estimate the CAPM beta, you's need  to regress (SLR) between the two time series: market returns and your asset returns.

  Asset Return = risk-free return + beta * Market Return

  You can use NxRegress function to compute the slope (i.e. Beta) for the two time series. See the function reference page and example:

  http://www.spiderfinancial.com/support/documentation/numxl/reference-manual/utilities/nxregress

  You can even compute the beta value for different dates (using prior data) and examine the variation of beta over time.

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