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Capital Asset Pricing Model with Interval Data

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Integrated Uncertainty in Knowledge Modelling and Decision Making (IUKM 2015)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 9376))

Abstract

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 interval-valued 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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Author information

Authors and Affiliations

  1. Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand

    Sutthiporn Piamsuwannakit & Songsak Sriboonchitta

  2. Faculty of Management Science, Chiang Rai Rajabhat University, Chiang Rai, Thailand

    Sutthiporn Piamsuwannakit

  3. Faculty of Economics, Maejo University, Chiang Mai, Thailand

    Kittawit Autchariyapanitkul

  4. Department of Mathematics, Faculty of Science, Chiang Mai University, Chiang Mai, Thailand

    Rujira Ouncharoen

Authors
  1. Sutthiporn Piamsuwannakit
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  2. Kittawit Autchariyapanitkul
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  3. Songsak Sriboonchitta
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  4. Rujira Ouncharoen
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Corresponding author

Correspondence to Kittawit Autchariyapanitkul .

Editor information

Editors and Affiliations

  1. Science and Technology, Japan Advanced Institute of, Nomi, Japan

    Van-Nam Huynh

  2. Science, Dept of Systems Innovation, Osaka University,Graduate School of, Osaka, Japan

    Masahiro Inuiguchi

  3. Université de Technologie de Compiègne, Compiègne, France

    Thierry Demoeux

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© 2015 Springer International Publishing Switzerland

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Piamsuwannakit, S., Autchariyapanitkul, K., Sriboonchitta, S., Ouncharoen, R. (2015). Capital Asset Pricing Model with Interval Data. In: Huynh, VN., Inuiguchi, M., Demoeux, T. (eds) Integrated Uncertainty in Knowledge Modelling and Decision Making. IUKM 2015. Lecture Notes in Computer Science(), vol 9376. Springer, Cham. https://doi.org/10.1007/978-3-319-25135-6_16

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  • DOI: https://doi.org/10.1007/978-3-319-25135-6_16

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-25134-9

  • Online ISBN: 978-3-319-25135-6

  • eBook Packages: Computer ScienceComputer Science (R0)

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