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To explain medium-term momentum and long-term reversal, we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio. According to the CAPM model’s zero explanatory ability with respect to stock market anomalies, we obtain an anomaly interpretative...
Persistent link: https://www.econbiz.de/10011825744
Exposure to market risk is a core objective of the Capital Asset Pricing Model (CAPM) with a focus on systematic risk. However, traditional OLS Beta model estimations (Ordinary Least Squares) are plagued with several statistical issues. Moreover, the CAPM considers only one source of risk and...
Persistent link: https://www.econbiz.de/10012500129
This study proposes a wavelets approach to estimating time-frequency-varying betas in the capital asset pricing model (CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk-profile robustness. Furthermore, we emphasize the effect of an...
Persistent link: https://www.econbiz.de/10014289044