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
Subjects:	Computer Science Mathematics
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84921642441&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/53437
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-53437
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spelling	th-cmuir.6653943832-534372018-09-04T09:56:03Z Predicting stock returns in the capital asset pricing model using quantile regression and belief functions Kittawit Autchariyapanitkul Somsak Chanaim Songsak Sriboonchitta Thierry Denoeux Computer Science Mathematics © 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. 2018-09-04T09:49:10Z 2018-09-04T09:49:10Z 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/6653943832/53437
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Computer Science Mathematics
spellingShingle	Computer Science Mathematics Kittawit Autchariyapanitkul Somsak Chanaim Songsak Sriboonchitta Thierry Denoeux Predicting stock returns in the capital asset pricing model using quantile regression and belief functions
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
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/6653943832/53437
_version_	1681424135041843200

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

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