Capital asset pricing model with interval data

© Springer International Publishing Switzerland 2015. We used interval-valued data to predict stock returns rather than just point valued data. Specifically, we used these interval values in the classical capital asset pricing model to estimate the beta coefficient that represents the risk in the po...

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Main Authors:	Sutthiporn Piamsuwannakit, Kittawit Autchariyapanitkul, Songsak Sriboonchitta, Rujira Ouncharoen
Format:	Book Series
Published:	2018
Subjects:	Agricultural and Biological Sciences
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951764722&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44798
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-44798
record_format	dspace
spelling	th-cmuir.6653943832-447982018-04-25T07:56:02Z Capital asset pricing model with interval data Sutthiporn Piamsuwannakit Kittawit Autchariyapanitkul Songsak Sriboonchitta Rujira Ouncharoen Agricultural and Biological Sciences © Springer International Publishing Switzerland 2015. We used interval-valued data to predict stock returns rather than just point valued data. Specifically, we used these interval values in the classical capital asset pricing model to estimate the beta coefficient that represents the risk in the portfolios management analysis. We also use the method to obtain a point valued of asset returns from the intervalvalued data to measure the sensitivity of the asset return and the market return. Finally, AIC criterion indicated that this approach can provide us better results than use the close price for prediction. 2018-01-24T04:48:10Z 2018-01-24T04:48:10Z 2015-01-01 Book Series 16113349 03029743 2-s2.0-84951764722 10.1007/978-3-319-25135-6_16 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951764722&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44798
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 Kittawit Autchariyapanitkul Songsak Sriboonchitta Rujira Ouncharoen Capital asset pricing model with interval data
description	© Springer International Publishing Switzerland 2015. We used interval-valued data to predict stock returns rather than just point valued data. Specifically, we used these interval values in the classical capital asset pricing model to estimate the beta coefficient that represents the risk in the portfolios management analysis. We also use the method to obtain a point valued of asset returns from the intervalvalued data to measure the sensitivity of the asset return and the market return. Finally, AIC criterion indicated that this approach can provide us better results than use the close price for prediction.
format	Book Series
author	Sutthiporn Piamsuwannakit Kittawit Autchariyapanitkul Songsak Sriboonchitta Rujira Ouncharoen
author_facet	Sutthiporn Piamsuwannakit Kittawit Autchariyapanitkul Songsak Sriboonchitta Rujira Ouncharoen
author_sort	Sutthiporn Piamsuwannakit
title	Capital asset pricing model with interval data
title_short	Capital asset pricing model with interval data
title_full	Capital asset pricing model with interval data
title_fullStr	Capital asset pricing model with interval data
title_full_unstemmed	Capital asset pricing model with interval data
title_sort	capital asset pricing model with interval data
publishDate	2018
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951764722&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44798
_version_	1681422626240593920

Capital asset pricing model with interval data

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