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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Acknowledgements
We are grateful for financial support from Puey Ungpakorn Center of Excellence in Econometrics, Faculty of Economics, Chiang Mai University.
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Tibprasorn, P., Khiewngamdee, C., Yamaka, W., Sriboonchitta, S. (2017). Estimating Efficiency of Stock Return with Interval Data. In: Kreinovich, V., Sriboonchitta, S., Huynh, VN. (eds) Robustness in Econometrics. Studies in Computational Intelligence, vol 692. Springer, Cham. https://doi.org/10.1007/978-3-319-50742-2_41
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DOI: https://doi.org/10.1007/978-3-319-50742-2_41
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