Stability of Beta Coefficients of Sector and Subsector Portfolios in an Uncertain Environment

Antonio Terceño1, M. Glòria Barberà-Mariné1, Hernán Vigier2 and Yanina Laumann3

  1. Department of Business, Universitat Rovira i Virgili
    Av. de la Universidad 1, Reus, 43204, Spain
    {antonio.terceno, gloria.barbera}@urv.cat
  2. Universidad Provincial del Sudoeste, Department of Economics, Universidad Nacional del Sur, CIC - Bs As
    Alvarado 332, Bahía Blanca, 8000, Argentina
    hvigier@uns.edu.ar
  3. Universidad Abierta Interamericana, Department of Economics, Universidad Nacional del Sur
    Av. Pellegrini 1957, Rosario, 2000, Argentina
    ylaumann@criba.edu.ar

Abstract

This paper is a first approach to the study of beta coefficients using fuzzy regression. We intend to improve the calculation of the sector and subsector betas of the Spanish Stock Market using fuzzy regression in an attempt to incorporate all future inaccuracies and the subjectivity associated with decision making. Our objective is to use all the information provided by the market to determine the systematic risk.

Key words

risk, beta coefficient, fuzzy regression, CAPM

Digital Object Identifier (DOI)

https://doi.org/10.2298/CSIS121222047T

Publication information

Volume 11, Issue 2 (June 2014)
Year of Publication: 2014
ISSN: 1820-0214 (Print) 2406-1018 (Online)
Publisher: ComSIS Consortium

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How to cite

Terceño, A., Barberà-Mariné, M. G., Vigier, H., Laumann, Y.: Stability of Beta Coefficients of Sector and Subsector Portfolios in an Uncertain Environment. Computer Science and Information Systems, Vol. 11, No. 2, 859–880. (2014)