Table 3 Analysis of Time–Frequency Multi-Betas Model results. Number of stocks for which the CAPM or the Multi-Betas is valid (in values and percentage)
From: A wavelet approach of investing behaviors and their effects on risk exposures
D1 | D2 | D3 | D4 | D5 | D6 | |
|---|---|---|---|---|---|---|
In values | ||||||
CAPM | 5 | 2 | 3 | 0 | 0 | 0 |
FULL MB | 2 | 3 | 5 | 13 | 14 | 25 |
MB OIL GOLD | 3 | 2 | 0 | 0 | 1 | 0 |
FF | 1 | 4 | 2 | 0 | 0 | 0 |
Mixed | 19 | 19 | 20 | 17 | 15 | 5 |
In % | ||||||
CAPM | 16.67 | 6.67 | 10.00 | 0.00 | 0.00 | 0.00 |
FULL MB | 6.67 | 10.00 | 16.67 | 43.33 | 46.67 | 83.33 |
MB OIL GOLD | 10.00 | 6.67 | 0.00 | 0.00 | 3.33 | 0.00 |
FF | 3.33 | 13.33 | 6.67 | 0.00 | 0.00 | 0.00 |
Mixed | 63.33 | 63.33 | 66.67 | 56.67 | 50.00 | 16.67 |