CAPM problem
Hello,
I work on the daily data for public companies. I need to calculate daily expected returns for a company. For this purpose I use CAPM model.
The CAPM has such form: Ri  Rf = beta*(RmRf)
Ri  return for a company (in my case the daily change of stock price)
Rf  risk free rate of return (in my case the return on 52 week tbills divided by 365)
Rm  return of the market (in my case the daily change of the value of the main index)
I use 250 days estimation period. Therefore, I have all the data and need only to calculate the "beta".
I run the regression and I receive terrible Rsquare equalling 0,02.
Is there something I did wrong? Did you face similar problems? Should I apply any other model (I tried Fama and French 3 factor model and the results were similar)? Any suggestions?
Any help would be appreciated!
