Predicting stock returns in the capital asset pricing model using quantile regression and belief functions

Predicting stock returns in the capital asset pricing model using quantile regression and belief functions

© Springer International Publishing Switzerland 2014. We consider an inference method for prediction based on belief functions in quantile regression with an asymmetric Laplace distribution. Specifically, we apply this method to the capital asset pricing model to estimate the beta coefficient and me...

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Main Authors: Kittawit Autchariyapanitkul, Somsak Chanaim, Songsak Sriboonchitta, Thierry Denoeux
Format: Book Series
Published: 2018
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84921642441&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/45690
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-456902018-01-24T06:15:09Z Predicting stock returns in the capital asset pricing model using quantile regression and belief functions Kittawit Autchariyapanitkul Somsak Chanaim Songsak Sriboonchitta Thierry Denoeux © Springer International Publishing Switzerland 2014. We consider an inference method for prediction based on belief functions in quantile regression with an asymmetric Laplace distribution. Specifically, we apply this method to the capital asset pricing model to estimate the beta coefficient and measure volatility under various market conditions at given levels of quantile. Likelihood-based belief functions are calculated from historical data of the securities in the S & P500 market. The results give us evidence on the systematic risk, in the form of a consonant belief function specified from the asymmetric Laplace distribution likelihood function given recorded data. Finally, we use the method to forecast the return of an individual stock. 2018-01-24T06:15:09Z 2018-01-24T06:15:09Z 2014-01-01 Book Series 16113349 03029743 2-s2.0-84921642441 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84921642441&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/45690
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
description © Springer International Publishing Switzerland 2014. We consider an inference method for prediction based on belief functions in quantile regression with an asymmetric Laplace distribution. Specifically, we apply this method to the capital asset pricing model to estimate the beta coefficient and measure volatility under various market conditions at given levels of quantile. Likelihood-based belief functions are calculated from historical data of the securities in the S & P500 market. The results give us evidence on the systematic risk, in the form of a consonant belief function specified from the asymmetric Laplace distribution likelihood function given recorded data. Finally, we use the method to forecast the return of an individual stock.
format Book Series
author Kittawit Autchariyapanitkul
Somsak Chanaim
Songsak Sriboonchitta
Thierry Denoeux
spellingShingle Kittawit Autchariyapanitkul
Somsak Chanaim
Songsak Sriboonchitta
Thierry Denoeux
Predicting stock returns in the capital asset pricing model using quantile regression and belief functions
author_facet Kittawit Autchariyapanitkul
Somsak Chanaim
Songsak Sriboonchitta
Thierry Denoeux
author_sort Kittawit Autchariyapanitkul
title Predicting stock returns in the capital asset pricing model using quantile regression and belief functions
title_short Predicting stock returns in the capital asset pricing model using quantile regression and belief functions
title_full Predicting stock returns in the capital asset pricing model using quantile regression and belief functions
title_fullStr Predicting stock returns in the capital asset pricing model using quantile regression and belief functions
title_full_unstemmed Predicting stock returns in the capital asset pricing model using quantile regression and belief functions
title_sort predicting stock returns in the capital asset pricing model using quantile regression and belief functions
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84921642441&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/45690
_version_ 1681422792285749248

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