How to Estimate Beta Using DCAPM (Downside CAPM) in Stata

In this video we talk about the basic equation of DCAPM and how DCAPM can be estimated in Stata. We use Different Models given as follows: Hogan and Warren (1974) Bawa and Lidenberg (1977) Harlow and Rao (1989) Estrada (2002, 2007) Download the Material Used in this video https://payhip.com/b/YkLKs Rolling regression in Stata https://www.youtube.com/watch?v=YdpVfrrGyjs Estimate yearly regression using statsby command in stata https://www.youtube.com/watch?v=99NI2Uvna9g Hogan, W. W., & Warren, J. M. (1974). Toward the development of an equilibrium capital-market model based on semivariance. Journal of Financial and Quantitative Analysis, 9(1), 1-11. Bawa, V. S., & Lindenberg, E. B. (1977). Capital market equilibrium in a mean-lower partial moment framework. Journal of financial economics, 5(2), 189-200. Harlow, W. V., & Rao, R. K. (1989). Asset pricing in a generalized mean-lower partial moment framework: Theory and evidence. Journal of financial and quantitative analysis, 24(3), 285-311. Estrada, J. (2007). Mean-semivariance behavior: Downside risk and capital asset pricing. International Review of Economics & Finance, 16(2), 169-185. Website: thedatahall.com As an Amazon Associate, I earn from qualifying purchases.