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Financial Innovation

Table 2 Percentages of significantly different Betas between Standard Multi-Betas Model and Time–Frequency Multi-Betas Model (TFMB)

From: A wavelet approach of investing behaviors and their effects on risk exposures

 

D1 (%)

D2 (%)

D3 (%)

D4 (%)

D5 (%)

D6 (%)

\(\beta_{m}\)

13.33

13.33

33.33

56.67

66.67

76.67

\(\beta_{o}\)

16.67

23.33

40.00

46.67

70.00

83.33

\(\beta_{g}\)

6.67

6.67

23.33

46.67

66.67

73.33

\(\beta_{SMB}\)

23.33

13.33

26.67

40.00

40.00

66.67

\(\beta_{HML}\)

13.33

13.33

33.33

50.00

70.00

63.33

  1. We test if the difference between the two estimators are significant with Student Test. We count the number of significant differences and we expressed them as a percentage of the total number of actions (i.e. 30)
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