Robustness in Econometrics pp 667-678 | Cite as
Estimating Efficiency of Stock Return with Interval Data
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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.
Keywords
Capital asset pricing model Stochastic frontier Copula Interval dataNotes
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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