import statsmodels.api as sm
df_close = get_price(['600596.XSHG','000902.XSHG'],\
fields=['open','close'],start_date='2014-01-01',end_date='2014-12-31')['close']
df_return = (df_close.diff(1)/df_close.shift(1)).dropna()
rf = 1.036**(1/360)-1
df_ex_ret = df_return - rf
model = sm.OLS(df_ex_ret['600596.XSHG'],sm.add_constant(df_ex_ret['000902.XSHG']))
result = model.fit()
result.summary()
Python实现CAPM
最新推荐文章于 2024-05-05 00:04:29 发布