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Published in:
Robust Estimation of Heckman Model Read chapter Read first chapter

2017 | OriginalPaper | Chapter

Estimating Efficiency of Stock Return with Interval Data

Authors : Phachongchit Tibprasorn, Chatchai Khiewngamdee, Woraphon Yamaka, Songsak Sriboonchitta

Published in: Robustness in Econometrics

Publisher: Springer International Publishing

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Abstract

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.

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previous chapter Analyzing the Contribution of ASEAN Stock Markets to Systemic Risk
next chapter The Impact of Extreme Events on Portfolio in Financial Risk Management
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Metadata
Title
Estimating Efficiency of Stock Return with Interval Data
Authors
Phachongchit Tibprasorn
Chatchai Khiewngamdee
Woraphon Yamaka
Songsak Sriboonchitta
Copyright Year
2017
Book
Robustness in Econometrics

Print ISBN: 978-3-319-50741-5

Electronic ISBN: 978-3-319-50742-2

Copyright Year: 2017

DOI
https://doi.org/10.1007/978-3-319-50742-2_41

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