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Table 5 Standard Multi Beta Model for Portfolios

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