If stock holds and xts of my stock return data, and Market holds an xts of market return data, For the CAPM regression, I simply use:
CAPMreg <- lm(Stock ~ Market)
plot(
as.zoo(Market),
as.zoo(Stock),
xlab = "X (Market Excess Return)",
ylab = "Y (Stock Excess Return)",
cex.main = 1.5,
frame.plot = FALSE,
col = "blue"
) ## col=ifelse((x*y<0), "red", "blue")
abline(CAPMreg)
done - I get a beautiful plot: