Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/57109
Title: Estimating efficiency of stock return with interval data
Authors: Phachongchit Tibprasorn
Chatchai Khiewngamdee
Woraphon Yamaka
Songsak Sriboonchitta
Keywords: Computer Science
Issue Date: 1-Feb-2017
Abstract: © 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.
URI: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012906531&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/57109
ISSN: 1860949X
Appears in Collections:CMUL: Journal Articles

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