Estimating risk in capital asset pricing for interval-valued data

Dailys Maite Aliaga Reyes, Renata Maria Cardoso Rodrigues De Souza and Francisco José A. Cysneiros

International Journal of Business Information Systems, 2019, vol. 32, issue 4, 522-535

Abstract: This paper proposes and analyses an approach to estimate the systematic risk in capital asset pricing with interval-valued data, using as variables the high and low prices contained in the financial databases to explain the asset returns. The approach takes into account the information within the daily intervals of high and low asset prices instead the most popular opening or closing prices for estimate the regression equation of the model, for calculations involving these intervals, the basic operations on interval arithmetic were used. Also, we propose an interpretation for the estimated interval beta-parameter. The approximation capabilities of the proposed model are illustrated by means of its application the daily high and low prices on Microsoft and the S%P500 index from 1 November 2013 to 15 January 2015. Using the proposed model with interval-valued data improves financial valuation of capital assets as compared to that using the standard econometric parameters.

Keywords: capital asset pricing model; CAPM; interval-valued data; symbolic data analysis; SDA; regression. (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=103795 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijbisy:v:32:y:2019:i:4:p:522-535

Access Statistics for this article

More articles in International Journal of Business Information Systems from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().