کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5100275 1478826 2017 52 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Timescale betas and the cross section of equity returns: Framework, application, and implications for interpreting the Fama-French factors
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Timescale betas and the cross section of equity returns: Framework, application, and implications for interpreting the Fama-French factors
چکیده انگلیسی
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 empirical application to the Fama-French model reveals that the model's well-known empirical success is largely due to the beta components associated with a timescale just short of a business cycle (i.e., wavelet scale 3). This implies that any viable explanation for the success of the Fama-French model that has been applied to the Fama-French factors should apply particularly to the scale 3 components of the factors. We find that a risk-based explanation conforms closely to this implication.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 42, June 2017, Pages 15-39
نویسندگان
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