EconPapers    
Economics at your fingertips  
 

Time-Frequency Analysis of capm: Application to the cac 40

Roman Mestre and Michel Terraza
Additional contact information
Michel Terraza: University of Montpellier, France

Managing Global Transitions, 2018, vol. 16, issue 2 (Summer), 141-157

Abstract: The market line estimation implicitly assumes that its parameters are constant over time supposing whatever the investment horizon, the investors have a similar behaviour. In this paper,we discuss this hypothesis using the technique of wavelets. First, we verify the expected result concerning the statistical weaknesses of market line and the high volatility of its parameters. Second, we use the wavelets to estimate the frequency betas. We show that the classic beta (estimated with OLS) considers a short-run beta. We propose a methodology based on time-frequency analysis that leads to an overview of equities characteristics useful to portfolio managers.

Keywords: market line; wavelets; MODWT; frequency betas (search for similar items in EconPapers)
JEL-codes: G00 G11 G12 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed

Downloads: (external link)
http://www.hippocampus.si/ISSN/1854-6935/16.141-157.pdf (application/pdf)

Related works:
Working Paper: Time-Frequency Analysis of CAPM: Application to the CAC 40 (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mgt:youmgt:v:16:y:2018:i:2:p:141-157

Ordering information: This journal article can be ordered from
http://www.mgt.fm-kp.si

DOI: 10.26493/1854-6935.16.141-157

Access Statistics for this article

Managing Global Transitions is currently edited by Jana Hojnik

More articles in Managing Global Transitions from University of Primorska, Faculty of Management Koper Contact information at EDIRC.
Bibliographic data for series maintained by Alen Jezovnik ().

 
Page updated 2022-11-27
Handle: RePEc:mgt:youmgt:v:16:y:2018:i:2:p:141-157