looking for functions that can test/estimate CAMPM, APT, Fama's factor model, etc.

I am also looking for interesting statistical experiments about
testing and estimating CAPM, APT, Fama models, etc. 
using R using financial series data... 
please give me some pointers... I have been searching 
the R archives for the past a few hours and I vaguely got to know
that there are programs do these interesting statistical things, but
I just could not find where are they...

Look at at the 'portfolio' and 'RMetrics' packages.  RMetrics is actually 
a group of packages, not just a single module.  These should give you 
CAPM and more.

I can also recommend this excellent introductory book:
http://www.amazon.com/Statistics-Finance-Introduction-David-Ruppert/dp/0387202706
Statistics and Finance: An Introduction by David Ruppert

with R examples available here:
http://www.stat.tamu.edu/~ljin/Finance/stat689-R.htm

Once you've worked on this for a while, if you need pointers on a specific 
problem, this list may be able to be of greater assistance.

Regards,

   - Brian

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thanks a lot for your pointers! I've taken a look at the book and the R
example website. That's super! Some of the examples there are very
good.

Yet I am still looking for Fama 3 factor model and Ross' APT
implementation. The concept is not hard per se, however I am not sure
how to classify some companies as H, and some companies as L and others
as Value companies, and the others as Growth companies. There are a lot
of implementation details that I am not sure of. Thus I guess learning
from other people's implementation is a better approach for me as a
green-hand.

Here's a great thread from this list last year about the Fama three-factor 
model:
http://blog.gmane.org/gmane.comp.lang.r.r-metrics/month=20050901

There is a ton of functionality in R for factor modeling, spread through 
lots of different packages.  I'd suggest that you do some searching on 
Primary Factor Analysis or Primary Component Analysis.

The best bet is to use the Value/Growth categorizations done by an 
external body, such as Reuters, Bloomberg, or S&P.  There doesn't seem to 
be much reason for you to independently categorize companies, especially 
in your learning stages.

For Arbitrage Pricing Theory, you've got to decide on a pricing model.  
There are many implementations of many pricing models in R.

(The Rmetrics are not very complete I guess.)

RMetrics is very complete for what it does, with some notable exceptions 
(fixed income instruments).  I've generally had a lot of luck using 
functions from RMetrics as building blocks for more complex analysis.

Regards,

  - Brian