Behavioral finance capm portfolio analysis

The Portfolio A is composed of companies Microsoft, Idaho, Franklin, Gannett and Nike. Gannett and Microsoft composed most of the portfolio market cap in the first year, although this proportion has changed over the months as different companies had different returns.

The proportion of return has varied considerably from the start, ranging from a loss of more than 6% to a gain of more than 21%. The average monthly return on this portfolio over the 241 months recorded was 1.8%. Over the entire period, the returns ranged from -31.69% to 37.04%

In the result of the CAPM model regression below, the outcome Y variable is the adjusted value weighted return-risk free rate. The predictor x variable is the market risk premium. Alpha represents the value that a portfolio adds or subtracts from the portfolio’s return. In this case alpha is 0.0091, which means the portfolio has outperformed the benchmark index by 0.91%. Beta is a measure of systematic risk of a portfolio in comparison to the market as a whole. The portfolio beta in this case is 1.2139, which means it is 21.39% more volatile than the market.
R-squared, the coefficient of determination is the ratio of the explained sum of squares to the total sum of squares. The higher R square, the closer the estimated regression equation fits the sample data. A value of R square close to one shows an excellent overall fit. R2 measures percentage of the variation of y around Y mean that is explained by the regression equation. In the case of the CAPM regression for the Portfolio A, the value of R-square is 0.3845. The relationship between X (market risk premium) and Y (portfolio return-risk free rate) is not very strong, which means the regression line is only slightly useful in describing the variation.
The t-values test the hypothesis that the coefficient is different from 0. To reject this, you need a t-value greater than 1.96 (for 95% confidence). In this case the value for t is 2.0493, so the hypothesis can be