From: A wavelet approach of investing behaviors and their effects on risk exposures
D1 | D2 | D3 | D4 | D5 | D6 | |
---|---|---|---|---|---|---|
% of \(\beta_{o}\) > 0 | 28.57 | 20.00 | 31.25 | 25.00 | 18.52 | 44.83 |
Mean of \(\beta_{o}\) | 0.05 | 0.07 | 0.08 | 0.08 | 0.08 | 0.08 |
Mean of \(\beta_{m}\) | 0.91 | 0.93 | 1.03 | 0.88 | 0.89 | 0.89 |
% of \(\beta_{g}\) > 0 | 50.00 | 54.55 | 46.67 | 52.38 | 56.00 | 56.67 |
Mean of \(\beta_{g}\) | 0.05 | 0.04 | 0.06 | 0.07 | 0.08 | 0.11 |
Mean of \(\beta_{m}\) | 0.85 | 0.82 | 0.88 | 1.01 | 1.01 | 1.02 |
% of \(\beta_{SMB}\) > 0 | 54.55 | 78.57 | 65.00 | 45.83 | 58.33 | 64.29 |
Mean of \(\beta_{SMB}\) | 0.12 | 0.15 | 0.17 | 0.27 | 0.26 | 0.29 |
Mean of \(\beta_{m}\) | 0.90 | 1.04 | 1.06 | 1.12 | 1.06 | 1.03 |
% of \(\beta_{HML}\) > 0 | 53.33 | 60.00 | 52.17 | 46.15 | 57.69 | 28.57 |
Mean of \(\beta_{HML}\) | 0.15 | 0.18 | 0.28 | 0.40 | 0.20 | 0.40 |
Mean of \(\beta_{m}\) | 1.16 | 1.12 | 1.15 | 1.17 | 1.06 | 1.14 |
% of \(\beta_{o}\) < 0 | 71.43 | 80.00 | 68.75 | 75.00 | 81.48 | 55.17 |
Mean of \(\beta_{o}\) | − 0.03 | − 0.03 | − 0.04 | − 0.05 | − 0.06 | − 0.11 |
Mean of \(\beta_{m}\) | 0.88 | 1.04 | 1.08 | 1.06 | 1.05 | 1.11 |
% of \(\beta_{g}\) < 0 | 50.00 | 45.45 | 53.33 | 47.62 | 44.00 | 43.33 |
Mean of \(\beta_{g}\) | − 0.08 | − 0.11 | − 0.07 | − 0.08 | − 0.10 | − 0.12 |
Mean of \(\beta_{m}\) | 1.17 | 1.30 | 1.17 | 1.14 | 1.14 | 1.02 |
% of \(\beta_{SMB}\) < 0 | 45.45 | 21.43 | 35.00 | 54.17 | 41.67 | 35.71 |
Mean of \(\beta_{SMB}\) | − 0.096 | − 0.11 | − 0.14 | − 0.12 | − 0.15 | − 0.27 |
Mean of \(\beta_{m}\) | 0.83 | 0.72 | 0.94 | 0.94 | 0.99 | 0.92 |
% of \(\beta_{HML}\) < 0 | 46.67 | 40.00 | 47.83 | 53.85 | 42.31 | 71.43 |
Mean of \(\beta_{HML}\) | − 0.12 | − 0.17 | − 0.18 | − 0.19 | − 0.34 | − 0.21 |
Mean of \(\beta_{m}\) | 0.81 | 0.78 | 0.81 | 0.86 | 0.94 | 0.97 |