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
格式:	Conference Proceeding
出版:	2018
主題:	Agricultural and Biological Sciences
在線閱讀:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951080741&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44853
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Chiang Mai University

id	th-cmuir.6653943832-44853
record_format	dspace
spelling	th-cmuir.6653943832-448532018-04-25T07:57:04Z 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 interval-valued 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. 2018-01-24T04:49:00Z 2018-01-24T04:49:00Z 2015-01-01 Conference Proceeding 03029743 2-s2.0-84951080741 10.1007/978-3-319-25135-6-16 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951080741&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44853
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 interval-valued 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	Conference Proceeding
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=84951080741&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44853
_version_	1681422636492521472

Capital asset pricing model with interval data

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