Capital asset pricing model with interval data

• Main Authors: Sutthiporn Piamsuwannakit, Kittawit Autchariyapanitkul, Songsak Sriboonchitta, Rujira Ouncharoen
• Format: Conference Proceeding
• Published: 2018
• Subjects: Computer Science; Mathematics
• Online Access: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84951080741&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/54420
• Institution: Chiang Mai University

© 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...