Capital Asset Pricing Model Using Fuzzy Data and Application for the Russian Stock Market

A. Brychykova
Additional contact information
A. Brychykova: National Research University Higher School of Economics, Moscow, Russia

Journal of the New Economic Association, 2019, vol. 43, issue 3, 58-77

Abstract: Capital Asset Pricing Model (CAPM) is one of the main models for building an optimal investment portfolio. To deal with the variability of the definition of profitability, vagueness or inaccuracy of data, gaps in variables, the theory of fuzzy sets can be used. A series of calculations and comparison of the parameters of the stock asset valuation model for the Russian stock market using classical and fuzzy regression is given in this paper. The paper also provides an overview of foreign works on fuzzy data. The possibility of using fuzzy regression to determine the relationship between the expected return of a financial asset and its risk through CAPM is analyzed, the problem of the sensitivity of the obtained beta-factors when changing the length of the assessment period is considered. According to the quality parameters of the model fit, the application of fuzzy regression with a fuzzy free term shows a definite improvement compared to the classical regression. The beta-coefficients of the fuzzy regression turn out to be more stable when the length of the estimation period changes in comparison with the classical regression.

Keywords: fuzzy sets; fuzzy regression; capital asset pricing model; stock market (search for similar items in EconPapers)
JEL-codes: C32 C61 G12 G17 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.econorus.org/repec/journl/2019-43-58-77r.pdf (application/pdf)

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:nea:journl:y:2019:i:43:p:58-77

DOI: 10.31737/2221-2264-2019-43-3-3

Access Statistics for this article

Journal of the New Economic Association is currently edited by Victor Polterovich and Aleksandr Rubinshtein

More articles in Journal of the New Economic Association from New Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Alexey Tcharykov ().