Estimating efficiency of stock return with interval data

© Springer International Publishing AG 2017. Existing studies on capital asset pricing model (CAPM) have basically focused on point data which may not concern about the variability and uncertainty in the data. Hence, this paper suggests the approach that gains more efficiency, that is, the interval...

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Main Authors: Phachongchit Tibprasorn, Chatchai Khiewngamdee, Woraphon Yamaka, Songsak Sriboonchitta
Format: Book Series
Published: 2018
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http://cmuir.cmu.ac.th/jspui/handle/6653943832/46697
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-466972018-04-25T07:27:53Z Estimating efficiency of stock return with interval data Phachongchit Tibprasorn Chatchai Khiewngamdee Woraphon Yamaka Songsak Sriboonchitta Agricultural and Biological Sciences © Springer International Publishing AG 2017. Existing studies on capital asset pricing model (CAPM) have basically focused on point data which may not concern about the variability and uncertainty in the data. Hence, this paper suggests the approach that gains more efficiency, that is, the interval data in CAPM analysis. The interval data is applied to the copula-based stochastic frontier model to obtain the return efficiency. This approach has proved its efficiency through application in three stock prices: Apple, Facebook and Google. 2018-04-25T06:59:38Z 2018-04-25T06:59:38Z 2017-02-01 Book Series 1860949X 2-s2.0-85012906531 10.1007/978-3-319-50742-2_41 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012906531&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/46697
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
Phachongchit Tibprasorn
Chatchai Khiewngamdee
Woraphon Yamaka
Songsak Sriboonchitta
Estimating efficiency of stock return with interval data
description © Springer International Publishing AG 2017. Existing studies on capital asset pricing model (CAPM) have basically focused on point data which may not concern about the variability and uncertainty in the data. Hence, this paper suggests the approach that gains more efficiency, that is, the interval data in CAPM analysis. The interval data is applied to the copula-based stochastic frontier model to obtain the return efficiency. This approach has proved its efficiency through application in three stock prices: Apple, Facebook and Google.
format Book Series
author Phachongchit Tibprasorn
Chatchai Khiewngamdee
Woraphon Yamaka
Songsak Sriboonchitta
author_facet Phachongchit Tibprasorn
Chatchai Khiewngamdee
Woraphon Yamaka
Songsak Sriboonchitta
author_sort Phachongchit Tibprasorn
title Estimating efficiency of stock return with interval data
title_short Estimating efficiency of stock return with interval data
title_full Estimating efficiency of stock return with interval data
title_fullStr Estimating efficiency of stock return with interval data
title_full_unstemmed Estimating efficiency of stock return with interval data
title_sort estimating efficiency of stock return with interval data
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012906531&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/46697
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