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Table 1 Multi-betas-AR-EGARCH model estimates

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

  1. At 5% significance level, Column LB (Ljung–Box test): χ2(5) = 11.1; Column ARCH ( ARCH-LM test): χ2(5) = 11,1 Column J–B (Jarque–Bera Line): χ2(2) = 5,99. We use Weighted Tests of Ljung–Box and ARCH-M of Fisher and Gallagher (2012). Moreover, in this model the non-collinearity between exogeneous variables are tested (see Table 8). The names of certain actions are abbreviated, see the list of abbreviations for more details on their full name