0
$\begingroup$

When running a CAPM on a portfolio I get a R-squared of 0.000964 which just seems impossible given the used portfolio, index and observed fit.

What could be an error leading to such a result ?

(I obtained coherent coefficients and t-stats, the standard deviation is pretty big (1.79%))

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.