From: A wavelet approach of investing behaviors and their effects on risk exposures
Portfolios | \(\beta_{m}\) | TSTAT to 1 | \(\beta_{o}\) | TSTAT | \(\beta_{g}\) | TSTAT | \(\beta_{SMB}\) | TSTAT | \(\beta_{HML}\) | TSTAT | R2 | JB | LB | ARCH |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Pf1 | 1.0156 | 2.0886 | − 0.0237 | − 5.6760 | − 0.0383 | − 5.3654 | 0.0372 | 7.6100 | 0.0504 | 2.9568 | 0.8841 | 2212.3582 | 1.3103 | 0.3452 |
Pf2 | 0.9847 | − 2.1364 | − 0.0048 | − 1.2709 | − 0.0060 | − 0.7328 | 0.0683 | 3.8880 | 0.0516 | 2.7766 | 0.8715 | 2916.2014 | 11.1718 | 0.8293 |
Pf3 | 0.8930 | − 6.3892 | 0.1076 | 11.6205 | 0.0877 | 5.3983 | 0.0138 | 0.6030 | 0.0629 | 2.7109 | 0.6351 | 3444.3284 | 4.8302 | 6.7425 |
Pf4 | 1.1143 | 12.5686 | − 0.0192 | − 3.6791 | − 0.0740 | − 7.7902 | 0.0050 | 0.2477 | 0.1178 | 5.5040 | 0.8421 | 3413.1451 | 1.4233 | 0.8095 |
Pf5 | 0.9591 | − 5.6721 | − 0.0172 | − 5.0278 | 0.0037 | 0.5122 | 0.0607 | 5.3748 | 0.0063 | 0.6233 | 0.8835 | 1812.4577 | 0.9471 | 0.8533 |
Pf6 | 0.8705 | − 15.7448 | 0.0242 | 5.6821 | 0.0384 | 4.8830 | 0.0455 | 2.5922 | 0.0263 | 1.5475 | 0.8569 | 2711.4237 | 2.2448 | 2.8390 |
Pf7 | 1.0206 | 2.3786 | − 0.0083 | − 1.6909 | − 0.0061 | − 0.6627 | 0.0533 | 2.5999 | − 0.0040 | − 0.1837 | 0.8566 | 1837.1235 | 10.7708 | 3.1274 |
Pf8 | 0.9907 | − 0.7784 | − 0.0117 | − 1.7242 | 0.0088 | 0.7233 | 0.0631 | 2.0728 | 0.0265 | 1.0479 | 0.7856 | 1804.8054 | 1.1307 | 0.0919 |