Shah, Aasif; Tali, Arif; Farooq, Qaiser - In: Financial Innovation 4 (2018) 1, pp. 1-17
In this paper, we empirically show how wavelet decomposition can provide an easy vehicle to study the systematic risk … market, we report that the conventional beta coefficients estimated from CAPM are essentially an average of wavelet betas but … securities. Additionally, the wavelet beta coefficients for Large Cap stocks are found more stable than Mid and Small capitalized …