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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th-cmuir.6653943832-544142018-09-04T10:20:03Z Capital asset pricing model with interval data Sutthiporn Piamsuwannakit Kittawit Autchariyapanitkul Songsak Sriboonchitta Rujira Ouncharoen Computer Science Mathematics © 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. 2018-09-04T10:13:07Z 2018-09-04T10:13:07Z 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/6653943832/54414 |
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Computer Science Mathematics Sutthiporn Piamsuwannakit Kittawit Autchariyapanitkul Songsak Sriboonchitta Rujira Ouncharoen Capital asset pricing model with interval data |
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© 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. |
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Book Series |
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Sutthiporn Piamsuwannakit Kittawit Autchariyapanitkul Songsak Sriboonchitta Rujira Ouncharoen |
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Sutthiporn Piamsuwannakit Kittawit Autchariyapanitkul Songsak Sriboonchitta Rujira Ouncharoen |
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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 |
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Capital asset pricing model with interval data |
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Capital asset pricing model with interval data |
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capital asset pricing model with interval data |
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2018 |
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https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951764722&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/54414 |
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