Estimating Beta
Now that you have calculated the monthly returns, you can estimate the beta for Mylan using regression analysis. The data object rets
you calculated previously is stored in memory.
When you regress the company return (ticker: MYL) on the market index return (ticker: SPY), beta is the resulting coefficient for the market index return in that regression. In this exercise, we want to perform a regression of myl
on spy
using the lm()
function and then extract the beta
from the regression summary.
Note: To extract beta, recall that it is the second element of the coefficient matrix (i.e., coeff[2]
).
This exercise is part of the course
Equity Valuation in R
Exercise instructions
- Run a regression of MYL return on SPY return.
- Extract beta from the regression and store in
beta
variable.
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Run regression
reg <- ___
# Save beta
beta <- ___
beta