In, Francis Haeuck; Kim, Sangbae; Faff, Robert W. - In: Applied financial economics 20 (2010) 4/6, pp. 323-330
multiscaling method: wavelet analysis. Our empirical analysis shows that the risk factors are more relevant at the lower … explains the size effect but not the value premium. After incorporating the two risk factors (Small Minus Big (SMB) and High … Minus Low (HML)), our empirical findings support the positive relationship between market risk and mean returns for big …