Question

Hello. I´m trying to calculate the CAPM of my company. I have a sheet of one professor that gave me a course once... and to calculate the Risk Free Rate he used the S&P 500 & Raw Data. Does anyone know where I could find this?? Thank you

Answer 1

Risk Free Rate should be the yield on a 10/30-year U.S. Treasury bill. Your Professor was probably referring you to the market return, which is fairly approximated by looking at the annualized return of the S&P 500 over the last 10 years or so (usually around 7-8%). Market Return (Rm) - Risk Free Return (Rf) = Market Risk Premium.

Answer 2

when one value a company uses the 10 year bond o 30 year bond, is most common used the 10 because is more liquid,
don´t forget to add a liquidity premium in the CAPM model if not it doesn´t work