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| Model wyceny aktywów kapitałowych (CAPM)× | Regresja metodą najmniejszych kwadratów (OLS)× | |
|---|---|---|
| Dziedzina≠ | Finanse | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1964 | 2019 |
| Twórca≠ | William F. Sharpe & John Lintner | Wooldridge (textbook treatment); classical least squares |
| Typ≠ | Equilibrium asset-pricing model | Linear regression |
| Źródło pierwotne≠ | Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442. DOI ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 |
| Inne nazwy | Capital Asset Pricing Model, Sharpe-Lintner CAPM, security market line, Sermaye Varlıkları Fiyatlama Modeli | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu |
| Pokrewne≠ | 2 | 5 |
| Podsumowanie≠ | The Capital Asset Pricing Model (CAPM), developed by William Sharpe and John Lintner in the mid-1960s, links the expected return of an asset to its systematic risk, measured by beta. It states that in equilibrium investors are rewarded only for risk that cannot be diversified away: the expected excess return of an asset is proportional to the expected excess return of the market, with beta as the constant of proportionality. CAPM underpins the cost of equity, performance benchmarking, and a vast body of asset-pricing research. | Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE). |
| ScholarGateZbiór danych ↗ |
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