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
Subjects:	Computer Science
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012906531&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/57109
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-57109
record_format	dspace
spelling	th-cmuir.6653943832-571092018-09-05T03:35:07Z Estimating efficiency of stock return with interval data Phachongchit Tibprasorn Chatchai Khiewngamdee Woraphon Yamaka Songsak Sriboonchitta Computer Science © 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. 2018-09-05T03:35:07Z 2018-09-05T03:35:07Z 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/6653943832/57109
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Computer Science
spellingShingle	Computer Science 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/6653943832/57109
_version_	1681424817284186112

Estimating efficiency of stock return with interval data

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