We show that standard beta pricing models quantify an asset's systematic risk as a weighted combination of a number of different timescale betas. Given this, we develop a wavelet-based framework that examines the cross-sectional pricing implications of isolating these timescale betas. An...

We investigate whether the business cycle is an important determinant of credit default swap (CDS) spreads and estimate the expected market risk premium as a proxy for the business cycle. Through portfolio regression, we find that structural model variables, including the business cycle, explain...