Standard Regression Statistic | Definition

Standard Regression Statistic

Standard Regression Statistic | Definition

In the Capital Asset Pricing Model (CAPM), a regression based on a risk-free proxy calculated as follows:

Rp – Rf = a + b(Rm – Rf)+ e

Where	Equals
Rp	Portfolio return
Rm	Risk-free proxy return (the return on an investment that is thought to carry little or no risk because its return is guaranteed)
Rf	Market or benchmark return
a	Alpha or risk adjusted excess return
b	Beta or market risk
e	Residual risk or regression error

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