Click on the scatter plot to add custom data points, or use the Data Input tab below.
Regression Model:
Ri,t -- Rf,t = α + β(Rm,t -- Rf,t) + εt
where:
Ri,t = Stock return at time t
Rf,t = Risk-free rate at time t
Rm,t = Market return at time t
β = Systematic risk (slope)
α = Alpha (abnormal return intercept)
Ri,t -- Rf,t = α + β(Rm,t -- Rf,t) + εt
where:
Ri,t = Stock return at time t
Rf,t = Risk-free rate at time t
Rm,t = Market return at time t
β = Systematic risk (slope)
α = Alpha (abnormal return intercept)
Estimated Beta (β):
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Beta Std Error:
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Alpha (α):
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R-squared:
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Observations:
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Beta Interpretation:
Load or create stock data to see interpretation.
Current Data Points:
| Market (%) | Stock (%) | Action |
|---|
Security Market Line (SML):
The SML shows the relationship between systematic risk (beta) and expected return. Your stock's position relative to the SML indicates whether it offers excess return (above) or insufficient return (below) for its risk level.
Expected Return = Rf + β(Rm -- Rf)