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Published in:
2015 | OriginalPaper | Chapter
Capital Asset Pricing Model with Interval Data
Authors : Sutthiporn Piamsuwannakit, Kittawit Autchariyapanitkul, Songsak Sriboonchitta, Rujira Ouncharoen
Published in: Integrated Uncertainty in Knowledge Modelling and Decision Making
Publisher: Springer International Publishing
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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.