Forecasting risk and returns: CAPM model with belief functions

© Springer International Publishing Switzerland 2015. This paper presents a CAPM model with a belief function approach for forecasting the Integrated Oil and Gas Company (CHK) stock and the S & P500 index. The approach composed of two steps. First, we estimate the systematic risk or the beta coe...

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Main Authors: Sutthiporn Piamsuwannakit, Songsak Sriboonchitta
Format: Book Series
Published: 2018
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Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84919360826&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/44583
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-445832018-04-25T07:51:49Z Forecasting risk and returns: CAPM model with belief functions Sutthiporn Piamsuwannakit Songsak Sriboonchitta Agricultural and Biological Sciences © Springer International Publishing Switzerland 2015. This paper presents a CAPM model with a belief function approach for forecasting the Integrated Oil and Gas Company (CHK) stock and the S & P500 index. The approach composed of two steps. First, we estimate the systematic risk or the beta coefficient in the CAPM model using the maximum likelihood method. Second, to improve the forecasting performance, we incorporate the likelihood-based belief functionmethod. Likelihood-based belief functions are calculated from the historical data. The data set contains of 209 weekly returns during the period of 2010–2013. The finding shows evidence on systematic risk which is associated by the belief function derived from the distribution likelihood function given the market return. Finally, we use the method to predict the return of a particular stock. 2018-01-24T04:45:05Z 2018-01-24T04:45:05Z 2015-01-01 Book Series 1860949X 2-s2.0-84919360826 10.1007/978-3-319-13449-9_18 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84919360826&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44583
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Agricultural and Biological Sciences
spellingShingle Agricultural and Biological Sciences
Sutthiporn Piamsuwannakit
Songsak Sriboonchitta
Forecasting risk and returns: CAPM model with belief functions
description © Springer International Publishing Switzerland 2015. This paper presents a CAPM model with a belief function approach for forecasting the Integrated Oil and Gas Company (CHK) stock and the S & P500 index. The approach composed of two steps. First, we estimate the systematic risk or the beta coefficient in the CAPM model using the maximum likelihood method. Second, to improve the forecasting performance, we incorporate the likelihood-based belief functionmethod. Likelihood-based belief functions are calculated from the historical data. The data set contains of 209 weekly returns during the period of 2010–2013. The finding shows evidence on systematic risk which is associated by the belief function derived from the distribution likelihood function given the market return. Finally, we use the method to predict the return of a particular stock.
format Book Series
author Sutthiporn Piamsuwannakit
Songsak Sriboonchitta
author_facet Sutthiporn Piamsuwannakit
Songsak Sriboonchitta
author_sort Sutthiporn Piamsuwannakit
title Forecasting risk and returns: CAPM model with belief functions
title_short Forecasting risk and returns: CAPM model with belief functions
title_full Forecasting risk and returns: CAPM model with belief functions
title_fullStr Forecasting risk and returns: CAPM model with belief functions
title_full_unstemmed Forecasting risk and returns: CAPM model with belief functions
title_sort forecasting risk and returns: capm model with belief functions
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84919360826&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/44583
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