From: A wavelet approach of investing behaviors and their effects on risk exposures
MB-EGARCH | \(\beta_{m}\) | TSTAT | \(\beta_{o}\) | TSTAT | \(\beta_{g}\) | TSTAT | \(\beta_{SMB}\) | TSTAT | \(\beta_{HML}\) | TSTAT | R2 | JB | LB | ARCH |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Essilor | 0.5465 | 34.3755 | − 0.0138 | − 1.5048 | 0.0374 | 1.8193 | − 0.0727 | − 2.1948 | − 0.0825 | − 2.6446 | 0.3156 | 14,886.8106 | 2.2929 | 3.4083 |
Sodexo | 0.5764 | 34.0822 | − 0.0265 | − 3.0530 | 0.0126 | 1.4286 | − 0.0516 | − 1.4035 | − 0.0664 | − 1.8927 | 0.3523 | 9486.8058 | 0.5854 | 0.7400 |
Ricard | 0.6592 | 41.3370 | − 0.0171 | − 1.6340 | 0.0366 | 2.2164 | − 0.0937 | − 2.2163 | − 0.2243 | − 5.0019 | 0.3594 | 8457.2479 | 5.1244 | 0.4965 |
Publicis | 0.6888 | 41.5041 | 0.0012 | 0.1216 | 0.0246 | 3.9324 | 0.0989 | 3.5915 | 0.0577 | 1.6953 | 0.4273 | 1956.4191 | 5.6180 | 0.6882 |
Danone | 0.7101 | 51.3373 | − 0.0053 | − 0.6735 | 0.0147 | 0.7169 | − 0.0294 | − 0.8576 | − 0.1754 | − 6.2064 | 0.4071 | 4941.3222 | 3.6895 | 2.0217 |
Orange | 0.7371 | 47.5652 | − 0.0145 | − 1.8401 | − 0.0410 | − 2.2798 | − 0.0524 | − 1.7019 | − 0.0855 | − 3.1268 | 0.4348 | 4729.6820 | 2.3237 | 0.4009 |
L’Oréal | 0.7862 | 56.3575 | − 0.0242 | − 3.3899 | 0.0071 | 0.5172 | − 0.0988 | − 2.9723 | − 0.1663 | − 5.9745 | 0.4892 | 4428.9182 | 1.9431 | 2.4978 |
Vivendi | 0.7922 | 57.3108 | − 0.0080 | − 2.2791 | − 0.0103 | − 2.9845 | − 0.0033 | − 1.5092 | − 0.0262 | − 6.1989 | 0.5234 | 7736.5512 | 1.6092 | 0.1586 |
Veolia | 0.8520 | 40.4459 | − 0.0297 | − 2.2036 | − 0.0253 | − 0.9384 | − 0.0639 | − 2.7895 | 0.0385 | 0.8809 | 0.3888 | 152,573.1525 | 0.7125 | 11.8468 |
Air Liquide | 0.8541 | 63.7216 | − 0.0034 | − 0.7886 | 0.0386 | 3.0939 | 0.0792 | 2.9755 | − 0.0770 | − 2.8033 | 0.6509 | 7907.8450 | 2.7418 | 0.3281 |
Total | 0.8663 | 78.3249 | 0.0770 | 11.1593 | 0.0772 | 6.7149 | − 0.0776 | − 3.9230 | − 0.0260 | − 2.1333 | 0.6953 | 2313.8447 | 2.9854 | 1.1112 |
Carrefour | 0.8769 | 45.7226 | − 0.0159 | − 1.8985 | − 0.0015 | − 0.3979 | − 0.0228 | − 0.5863 | − 0.0023 | − 0.0567 | 0.4837 | 3807.5330 | 1.3692 | 1.1464 |
Technip | 0.9178 | 36.4579 | 0.1388 | 11.1147 | 0.1029 | 4.5024 | 0.1105 | 1.9307 | 0.1286 | 2.0498 | 0.4139 | 7678.6395 | 5.1697 | 4.9311 |
Airbus | 0.9448 | 41.6451 | 0.0045 | 0.5873 | 0.0213 | 3.7259 | − 0.0400 | − 1.0343 | 0.0575 | 2.5552 | 0.3551 | 104,366.3980 | 3.7567 | 0.0794 |
Accor | 0.9446 | 40.8456 | − 0.0177 | − 1.4160 | 0.0354 | 1.2486 | 0.1471 | 3.4207 | 0.0625 | 1.2867 | 0.4788 | 5669.3152 | 1.6773 | 1.1744 |
GDF | 0.9966 | 127.1810 | − 0.0182 | − 3.3635 | − 0.0416 | − 3.7110 | − 0.0919 | − 1.4589 | − 0.0728 | − 1.4691 | 0.4977 | 150,612.7368 | 5.7682 | 0.1908 |
Bouygues | 0.9951 | 40.3635 | − 0.0194 | − 1.7900 | 0.0384 | 2.4603 | − 0.1034 | − 3.1617 | 0.1739 | 3.9969 | 0.5050 | 18,377.1038 | 0.5454 | 0.4945 |
Gemini | 1.0042 | 44.3010 | − 0.0274 | − 2.1425 | 0.0181 | 0.7373 | 0.1185 | 2.4446 | − 0.0315 | − 0.6087 | 0.4855 | 2924.4063 | 2.6322 | 0.3840 |
Michelin | 1.0136 | 49.0846 | − 0.0229 | − 1.8517 | 0.0370 | 1.4420 | 0.1794 | 3.9525 | 0.0932 | 1.8507 | 0.4899 | 3228.7508 | 4.0973 | 1.2892 |
LVMH | 1.0319 | 75.9458 | − 0.0128 | − 1.9659 | 0.0185 | 2.2401 | 0.0567 | 2.2029 | − 0.0307 | − 1.4042 | 0.6250 | 10,589.6791 | 1.6496 | 0.7156 |
Vinci | 1.0595 | 74.3620 | − 0.0183 | − 1.8476 | 0.0148 | 1.0902 | 0.0601 | 1.2580 | 0.0306 | 0.9531 | 0.6695 | 5088.6765 | 1.3454 | 1.0304 |
Alcatel | 1.1255 | 41.6015 | − 0.0220 | − 0.6312 | − 0.0530 | − 0.6781 | 0.1500 | 1.9781 | 0.1130 | 0.7856 | 0.3928 | 1578.7975 | 3.8509 | 1.1019 |
PSA | 1.1318 | 32.1611 | − 0.0236 | − 2.4479 | − 0.0831 | − 2.5733 | 0.2242 | 4.0979 | − 0.0907 | − 1.3327 | 0.3258 | 13,927.3025 | 0.9150 | 1.3106 |
Schneider | 1.1898 | 67.4567 | − 0.0103 | − 1.0074 | 0.0194 | 1.0206 | 0.0659 | 1.6223 | 0.0416 | 1.0323 | 0.6763 | 1128.1090 | 9.8194 | 2.4801 |
St-Gobain | 1.2373 | 69.2948 | − 0.0026 | − 0.3686 | 0.0056 | 0.5795 | 0.1707 | 5.7325 | 0.0551 | 1.3654 | 0.6693 | 16,152.7003 | 2.6272 | 0.2183 |
Renault | 1.2602 | 51.7172 | − 0.0200 | − 1.4395 | 0.0157 | 0.6035 | 0.1284 | 2.3379 | 0.0978 | 1.4316 | 0.5498 | 2219.4141 | 1.1933 | 1.9139 |
AXA | 1.2893 | 67.0776 | − 0.0444 | − 4.4087 | − 0.0577 | − 2.9230 | − 0.0733 | − 1.7649 | 0.2083 | 4.5534 | 0.6726 | 45,909.1043 | 5.0398 | 0.0089 |
BNP | 1.2925 | 64.2483 | − 0.0405 | − 3.9577 | − 0.0827 | − 5.1730 | − 0.0317 | − 0.7545 | 0.2717 | 5.9755 | 0.6185 | 40,068.3805 | 2.4614 | 0.5333 |
SG | 1.3068 | 27.7305 | − 0.0087 | − 0.7971 | − 0.0955 | − 3.7482 | − 0.0274 | − 1.1462 | 0.3006 | 5.9691 | 0.5674 | 10,487.5738 | 5.0467 | 4.5046 |
CA | 1.3262 | 55.4297 | − 0.0332 | − 3.5000 | − 0.0812 | − 3.3929 | 0.0003 | 0.0055 | 0.4087 | 6.2493 | 0.5679 | 7916.5054 | 1.9223 | 1.9958 |