[Uwgarp-commits] r156 - in pkg/GARPFRM: R vignettes

noreply at r-forge.r-project.org noreply at r-forge.r-project.org
Mon Mar 31 06:01:53 CEST 2014 

Author: tfillebeen
Date: 2014-03-31 06:01:52 +0200 (Mon, 31 Mar 2014)
New Revision: 156

Modified:
   pkg/GARPFRM/R/capm.R
   pkg/GARPFRM/vignettes/CAPM_TF.Rnw
   pkg/GARPFRM/vignettes/CAPM_TF.pdf
Log:
minor CAPM vignette alteration

Modified: pkg/GARPFRM/R/capm.R
===================================================================
--- pkg/GARPFRM/R/capm.R	2014-03-31 00:55:39 UTC (rev 155)
+++ pkg/GARPFRM/R/capm.R	2014-03-31 04:01:52 UTC (rev 156)
@@ -2,25 +2,25 @@
 # Description for CAPM
 # @param r risk-free rate
 # @param mkrt market return
-# @return the function returns tstat upon default & pvalue when spesignificanceLevelfied
+# @return the function returns tstat upon default & pvalue when specified
 # @export
 # capm.tstats = function(r,mkrt,type = FALSE) {
-#   # Fiting CAPM and retrieve alpha spesignificanceLevelfic tstats or pvalues
+#   # Fiting CAPM and retrieve alpha specific tstats or pvalues
 #   capm.fit = lm(r~mkrt)    
 #   # Extract summary info
 #   capm.summary = summary(capm.fit) 
 #   if(is.null(type) | type=="pvalue"){
-#     # Retrieve p-value if spesignificanceLevelfied
+#     # Retrieve p-value if specified
 #     p.value = coef(capm.summary)[1,4]  
 #     p.value
 #   }else{
-#     # Otherwise retrieve t-stat if spesignificanceLevelfied or on default
+#     # Otherwise retrieve t-stat if specified or on default
 #     t.stat = coef(capm.summary)[1,3]  
 #     t.stat
 #   }
 # }
 
-#' Capital Asset PrisignificanceLevelng Model
+#' Capital Asset Pricing Model
 #' 
 #' TODO: Need a better description of the CAPM
 #' 
@@ -119,7 +119,7 @@
 #' Extract the standard error, t-values, and p-values from the CAPM object.
 #' 
 #' The t-statistic and corresponding two-sided p-value are calculated differently
-#' for the alpha and beta coeffisignificanceLevelents.
+#' for the alpha and beta coefficients.
 #' \itemize{
 #'   \item{alpha}{ the t-statistic and corresponding p-value are calculated to
 #'   test if alpha is significantly different from 0.
@@ -258,14 +258,14 @@
 
 #' CAPM Hypothesis Test
 #' 
-#' Test the CAPM coeffisignificanceLevelents for significance.
+#' Test the CAPM coefficients for significance.
 #' 
 #' @details
-#' This function tests the significance of the coeffisignificanceLevelents (alpha and beta)
+#' This function tests the significance of the coefficients (alpha and beta)
 #' estimated by the CAPM.
 #' 
 #' #' The t-statistic and corresponding two-sided p-value are calculated differently
-#' for the alpha and beta coeffisignificanceLevelents.
+#' for the alpha and beta coefficients
 #' \itemize{
 #'   \item{alpha}{ the t-statistic and corresponding p-value are calculated to
 #'   test if alpha is significantly different from 0.
@@ -281,15 +281,15 @@
 #'   }
 #' }
 #' 
-#' If the p-value is less than the spesignificanceLevelfied confidence level, the null 
-#' hypothesis is rejected meaning that the coeffisignificanceLevelent is significant. If 
-#' the p-value is greater than the spesignificanceLevelfied confidence level, the null 
+#' If the p-value is less than the coefficients confidence level, the null 
+#' hypothesis is rejected meaning that the coefficients is significant. If 
+#' the p-value is greater than the specified confidence level, the null 
 #' hypothesis cannot be rejected.
 #' 
 #' @param object a capm object created by \code{\link{CAPM}}
 #' @param significanceLevel confidence level
-#' @return TRUE if the null hypothesis is rejected (i.e. the estimated coeffisignificanceLevelent is significant)
-#' FALSE if the null hypothesis cannot be rejected (i.e. the estimated coeffisignificanceLevelent is not significant)
+#' @return TRUE if the null hypothesis is rejected (i.e. the estimated coefficient is significant)
+#' FALSE if the null hypothesis cannot be rejected (i.e. the estimated coefficient is not significant)
 #' @seealso \code{\link{getStatistics}}
 #' @author Thomas Fillebeen
 #' @export

Modified: pkg/GARPFRM/vignettes/CAPM_TF.Rnw
===================================================================
--- pkg/GARPFRM/vignettes/CAPM_TF.Rnw	2014-03-31 00:55:39 UTC (rev 155)
+++ pkg/GARPFRM/vignettes/CAPM_TF.Rnw	2014-03-31 04:01:52 UTC (rev 156)
@@ -33,7 +33,7 @@
 \maketitle
 
 \begin{abstract}
-Standard Capital Asset PrisignificanceLevelng Model (CAPM) fitting and testing using CRSP data.
+Standard Capital Asset Pricing Model (CAPM) fitting and testing using CRSP data. Where CAPM describes the relationship between risk and expected return.
 
 CAPM Assumptions
 1. Identical investors who are price takers;
@@ -87,7 +87,16 @@
 \begin{equation}
 R_{i,t} - R_f = \alpha_i + \beta_i (R_{M,t} - R_f) + \epsilon_{i,t}
 \end{equation}
-Test:
+where:
+\begin{description}
+  \item[$R_{i,t}$] is the return on the capital asset
+  \item[$R_f$] is the risk-free rate of interest (e.g. government treasuries)
+  \item[$\alpha_i$] is the sensitivity of the excess asset returns to the excess market returns
+  \item[$\beta_i$] is the sensitivity of the excess asset returns to the excess market returns
+  \item[$R_{M,t}$] is the return of the market
+  \item[$\epsilon_{i,t}$] is the error term of the regression
+\end{description}
+What is tested with the getStatistics method:
 \begin{equation}
 H_0: \alpha = 0 ;
 H_1: \alpha \neq 0
@@ -97,7 +106,7 @@
 H_1: \beta \neq 1
 \end{equation}
 
-That is run CAPM regression for AMAT and estimate CAPM with $\alpha=0$ \& $\beta=1$ for asset. The getStatistics method will reflect these alternative hypothesis tests. Finally, when plotting the asset the legend shows the coefficient values and their standard error.
+That is run CAPM regression for AMAT and estimate CAPM with $\alpha=0$ \& $\beta=1$ for asset. The getStatistics method will reflect these alternative hypothesis tests. Finally, when plotting the asset the legend shows the coefficient values and their standard errors.
 <<ex4>>=
 # Univariate CAPM
 uv <- CAPM(exReturns[,1], mrkt)

Modified: pkg/GARPFRM/vignettes/CAPM_TF.pdf
===================================================================
--- pkg/GARPFRM/vignettes/CAPM_TF.pdf	2014-03-31 00:55:39 UTC (rev 155)
+++ pkg/GARPFRM/vignettes/CAPM_TF.pdf	2014-03-31 04:01:52 UTC (rev 156)
@@ -1,18 +1,29 @@
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[TRUNCATED]

To get the complete diff run:
    svnlook diff /svnroot/uwgarp -r 156

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