Table 10 Comparison of \(\beta_{m}\) between CAPM-EGARCH and Multi-Betas-EGARCH
From: A wavelet approach of investing behaviors and their effects on risk exposures
Stocks | Beta (CAPM-EGARCH) | Beta (MB-EGARCH) | |
|---|---|---|---|
\(\beta_{m} < 1\) | |||
Essilor | 0.53 | 0.55 | NS |
Sodexo | 0.56 | 0.58 | NS |
Danone | 0.7 | 0.71 | NS |
Ricard | 0.63 | 0.66 | NS |
Publicis | 0.7 | 0.69 | NS |
L’Oréal | 0.75 | 0.79 | NS |
Orange | 0.72 | 0.74 | NS |
Vivendi | 0.79 | 0.79 | NS |
Air Liquide | 0.85 | 0.85 | NS |
Carrefour | 0.87 | 0.88 | NS |
Veolia | 0.83 | 0.85 | NS |
Total | 0.89 | 0.87 | NS |
GDF | 0.95 | 0.99 | S |
Airbus | 0.94 | 0.94 | NS |
Accor | 0.95 | 0.94 | NS |
\(\beta_{m} = 1\) | |||
LVMH | 1.02 | 1.03 | NS |
Gemini | 0.99 | 1.00 | NS |
Technip | 0.99 | 0.92 | NS |
Bouy | 0.99 | 1.00 | NS |
Michelin | 1.03 | 1.01 | NS |
Vinci | 1.06 | 1.06 | NS |
PSA | 1.13 | 1.13 | NS |
Alcatel | 1.13 | 1.13 | NS |
Schneider | 1.19 | 1.19 | NS |
\(\beta_{m} > 1\) | |||
St-Gobain | 1.25 | 1.24 | NS |
Renault | 1.27 | 1.26 | NS |
BNP | 1.29 | 1.3 | NS |
CA | 1.35 | 1.33 | NS |
SG | 1.31 | 1.31 | NS |
AXA | 1.29 | 1.29 | NS |