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Analysis Of Beta Coefficients In The Brazilian Stock Market Using Fuzzy Linear Regression Methodology

Author

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  • Yanina Laumann

    (Department of Business Management, Faculty of Business and Economics, Rovira i Virgili)

Abstract

With the aim of using all the information provided by the market to determine the systematic risk, we intend to continue the study of Terceño et al. (2011, 2014) using fuzzy linear regression to calculate the sectors betas of the Brazilian Stock Market. The analysis with fuzzy regression can be applied which crisp data, uncertain or with a mixture of both. The objective of this work is, precisely, to compare the obtained results using the fuzzy regression with crisp data and uncertain data. After that, we make a comparison with the results obtained by using ordinary least squares. The comparison allows us to determine which of the systems allows a better adaptation of reality. As we will show, fuzzy regression is in many ways more versatile than conventional linear regression because functional relationships can be obtained when the independent variables, dependent variables, or both, are not crisp values but intervals or fuzzy numbers.

Suggested Citation

  • Yanina Laumann, 2015. "Analysis Of Beta Coefficients In The Brazilian Stock Market Using Fuzzy Linear Regression Methodology," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(2), pages 3-17, November.
    • Handle: RePEc:fzy:fuzeco:v:xx:y:2015:i:2:p:3-17
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    Citations

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    Cited by:

    1. Pedro Antonio Martín-Cervantes & María del Carmen Valls Martínez, 2023. "Unraveling the relationship between betas and ESG scores through the Random Forests methodology," Risk Management, Palgrave Macmillan, vol. 25(3), pages 1-29, September.
    2. Brychykova, A., 2019. "Capital Asset Pricing Model Using Fuzzy Data and Application for the Russian Stock Market," Journal of the New Economic Association, New Economic Association, vol. 43(3), pages 58-77.
    3. Antonio Terceño & María Glòria Barberà-Mariné & Yanina Laumann, 2018. "Análisis de los coeficientes beta: evidencia en el mercado de activos chileno," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 21(3), pages 076-093, December.

    More about this item

    Keywords

    fuzzy linear regression; systematic risk; beta coefficient;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other

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