DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kang, Byoung Uk | ko |
dc.contributor.author | In, Francis | ko |
dc.contributor.author | Kim, Tong-Suk | ko |
dc.date.accessioned | 2017-07-18T06:32:04Z | - |
dc.date.available | 2017-07-18T06:32:04Z | - |
dc.date.created | 2017-06-20 | - |
dc.date.created | 2017-06-20 | - |
dc.date.issued | 2017-06 | - |
dc.identifier.citation | JOURNAL OF EMPIRICAL FINANCE, v.42, pp.15 - 39 | - |
dc.identifier.issn | 0927-5398 | - |
dc.identifier.uri | http://hdl.handle.net/10203/224889 | - |
dc.description.abstract | 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. | - |
dc.language | English | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.subject | BOOK-TO-MARKET | - |
dc.subject | MEASURING BUSINESS CYCLES | - |
dc.subject | ECONOMIC TIME-SERIES | - |
dc.subject | ASSET-PRICING MODEL | - |
dc.subject | STOCK RETURNS | - |
dc.subject | RISK-FACTORS | - |
dc.subject | EXPECTED RETURNS | - |
dc.subject | WAVELET ANALYSIS | - |
dc.subject | SYSTEMATIC-RISK | - |
dc.subject | CONSUMPTION | - |
dc.title | Timescale betas and the cross section of equity returns: Framework, application, and implications for interpreting the Fama-French factors | - |
dc.type | Article | - |
dc.identifier.wosid | 000403863200002 | - |
dc.identifier.scopusid | 2-s2.0-85012092947 | - |
dc.type.rims | ART | - |
dc.citation.volume | 42 | - |
dc.citation.beginningpage | 15 | - |
dc.citation.endingpage | 39 | - |
dc.citation.publicationname | JOURNAL OF EMPIRICAL FINANCE | - |
dc.identifier.doi | 10.1016/j.jempfin.2017.01.004 | - |
dc.contributor.localauthor | Kim, Tong-Suk | - |
dc.contributor.nonIdAuthor | Kang, Byoung Uk | - |
dc.contributor.nonIdAuthor | In, Francis | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Asset pricing | - |
dc.subject.keywordAuthor | Timescale betas | - |
dc.subject.keywordAuthor | Cross section of stock returns | - |
dc.subject.keywordAuthor | Fama-French factors | - |
dc.subject.keywordAuthor | Wavelets | - |
dc.subject.keywordPlus | BOOK-TO-MARKET | - |
dc.subject.keywordPlus | MEASURING BUSINESS CYCLES | - |
dc.subject.keywordPlus | ECONOMIC TIME-SERIES | - |
dc.subject.keywordPlus | ASSET-PRICING MODEL | - |
dc.subject.keywordPlus | STOCK RETURNS | - |
dc.subject.keywordPlus | RISK-FACTORS | - |
dc.subject.keywordPlus | EXPECTED RETURNS | - |
dc.subject.keywordPlus | WAVELET ANALYSIS | - |
dc.subject.keywordPlus | SYSTEMATIC-RISK | - |
dc.subject.keywordPlus | CONSUMPTION | - |
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