Opacity and frequency dependence of beta

Sana Ejaz and Vladimir Volkov

Finance Research Letters, 2024, vol. 67, issue PB

Abstract: This paper examines the relationship between opacity and frequency dependence of systematic risk (β), estimated over different horizons using Wavelet Transform, for small and large firms. The findings provide evidence for the frequency-specific nature of opacity and suggest that while opacity is positively related to the frequency dependence of beta for large firms at all frequencies, for small firms the relationship is significant at low (long horizon) and insignificant at higher (short horizon) frequencies.

Keywords: Opacity; Frequency dependence of beta; Wavelet transform; Liquidity (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008870

DOI: 10.1016/j.frl.2024.105857

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