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

Financial Innovation

Table 7 Equities characteristics

Stocks prices	Means	SD	Skewness	Kurtosis
(a)Means and standard deviations of Ln(Prices)
Accor	3.15	0.34	0.15	2.76
Airbus	3.15	0.52	0.28	2.18
Alcatel	1.20	0.74	0.19	2.05
Air Liquide	4.05	0.40	− 0.15	2.16
AXA	2.48	0.31	0.08	2.71
BNP	3.72	0.25	− 0.98	3.68
Bouygues	3.13	0.26	0.10	2.17
CA	2.29	0.48	− 0.46	2.87
CARREFOUR	3.23	0.28	− 0.74	3.31
DANONE	3.70	0.23	− 0.39	2.78
ESSILOR	3.84	0.47	0.27	2.00
GDF	2.76	0.19	− 0.11	2.75
Gemini	3.51	0.37	0.78	3.22
St Gobain	3.48	0.26	− 0.08	3.22
LVMH	4.42	0.41	− 0.10	1.79
Michelin	3.90	0.35	0.04	2.28
L'Oréal	4.36	0.36	0.50	2.30
Orange	2.29	0.19	− 0.10	3.09
PSA	2.72	0.56	− 0.47	2.36
Publicis	3.46	0.43	0.29	1.98
Renault	3.81	0.47	− 0.62	2.87
Ricard	4.12	0.31	− 0.03	2.21
Schneider	3.51	0.43	− 0.16	1.88
SG	3.70	0.50	0.05	2.51
Sodexo	3.77	0.41	− 0.06	2.28
Technip	3.85	0.36	− 0.65	3.21
Total	3.43	0.18	0.29	2.88
Veolia	2.77	0.49	0.03	2.24
Vinci	3.45	0.30	− 0.03	2.84
Vivendi	2.57	0.18	0.68	3.10
Gold	6.64	0.40	− 0.44	2.00
Oil	4.05	0.25	− 0.58	2.81
CAC	8.33	0.19	− 0.02	2.31

Ln (prices)	M3	M2	M1	Premia	M3
(b) Phillips-Perron stationarity test on Ln(Prices) and on risk premia
CAC	− 1.89	− 1.85	0.23	CAC	− 56.11
Oil	− 2.57	− 2.13	− 0.07	Oil	− 57.32
Gold	− 1.22	− 2.23	1.77	Gold	− 56.18
Accor	− 3.1	− 2.06	− 1.11	Accor	− 52.93
Airbus	− 1.53	− 0.52	0.93	Airbus	− 53.39
Alcatel	− 1.15	− 1.74	− 1.47	Alcatel	− 51.26
Air Liquide	− 3.27	− 1.51	2.08	Air Liquide	− 60.49
AXA	− 2.41	− 2.05	0.72	AXA	− 51.22
BNP	− 2.48	− 2.48	0.24	BNP	− 53.9
Bouygues	− 1.88	− 1.88	0.44	Bouygues	− 55.34
CA	− 1.5	− 1.49	− 0.51	CA	− 51.42
CARREFOUR	− 1.87	− 1.67	− 0.03	CARREFOUR	− 54.48
DANONE	− 3.06	− 2.19	1.34	DANONE	− 56.78
ESSILOR	− 2.32	− 0.45	2.38	ESSILOR	− 57.77
GDF	− 3.09	− 3.02	0.33	GDF	− 54.64
Gemini	− 1.58	− 0.81	1.4	Gemini	− 53.5
St Gobain	− 2.36	− 2.36	0.03	St Gobain	− 54.64
LVMH	− 1.96	− 0.65	1.73	LVMH	− 59.99
Michelin	− 2.54	− 1.41	1.1	Michelin	− 55.7
L'Oréal	− 2.46	− 1.57	0.69	L'Oréal	− 52.28
Orange	− 1.42	− 1.38	0.32	Orange	− 54.42
PSA	− 1.36	− 1.46	− 0.59	PSA	− 49.27
Publicis	− 1.97	− 0.7	1.26	Publicis	− 54.03
Renault	− 1.27	− 1.25	0.3	Renault	− 49.21
Ricard	− 2.64	− 1.48	1.43	Ricard	− 55.28
Schneider	− 2.53	− 1.91	1.19	Schneider	− 57.69
SG	− 1.72	− 1.49	− 0.33	SG	− 48.76
Sodexo	− 3.19	− 1.6	2.04	Sodexo	− 54.67
Technip	− 1.89	− 2.04	0.24	Technip	− 53.73
Total	− 3.31	− 2.77	0.78	Total	− 55.66
Veolia	− 1.1	− 1.14	0.04	Veolia	− 510,257
Vinci	− 2.59	− 1.99	1.48	Vinci	− 56.9
Vivendi	− 2.17	− 1.86	0.56	Vivendi	− 56.31

Premia	Means	Nullity tests	SD	Skewness	Kurtosis
(c) Means and standard deviations of risk premia
CAC	− 0.0000494	0.19	0.0143	0.02	9.55
Oil	0.0000309	0.07	0.0232	− 0.01	8.44
Gold	0.000392	1.78	0.0118	− 0.47	8.27
Accor	0.000355	0.93	0.0205	0.17	7
Airbus	0.000316	0.74	0.0228	− 0.95	16.65
Alcatel	− 0.000506	0.88	0.0307	− 0.26	9.46
Air Liquide	0.000368	1.34	0.0147	0.04	7.34
AXA	0.000351	0.72	0.026	0.45	12.15
BNP	0.0000518	0.11	0.0254	0.27	11.53
Bouygues	0.000105	0.26	0.0212	0.31	10.41
CA	− 0.000212	0.41	0.0275	0.21	9.03
DANONE	0.000245	0.9	0.0145	− 0.05	7.18
CARREFOUR	− 0.0000784	0.23	0.0185	− 0.06	6.34
ESSILOR	0.000466	1.84	0.0136	0.36	9.08
GDF	0.0000471	0.13	0.019	1.12	23.11
Gemini	0.000425	1.07	0.0212	0.02	6.65
St Gobain	− 0.0000298	0.07	0.0234	0.04	9.52
L'Oréal	0.00031	1.12	0.0148	0.23	8.75
LVMH	0.000298	0.89	0.018	0.09	8.53
Orange	− 0.0000008	0	0.0158	0.28	6.68
Michelin	0.000228	0.56	0.0219	− 0.1	6.59
PSA	− 0.000269	0.54	0.0267	− 0.02	5.42
Publicis	0.000271	0.92	0.0157	0.01	6.39
Renault	0.000123	0.25	0.0261	− 0.16	7.44
Ricard	0.000293	0.95	0.0165	− 0.33	12.43
Schneider	0.000351	0.88	0.0214	0.09	7.92
SG	− 0.000179	0.34	0.0281	− 0.07	9.04
Sodexo	0.00047	1.65	0.0152	− 0.11	8.88
Technip	0.0000608	0.14	0.024	− 0.34	8.17
Total	0.000137	0.45	0.0162	0.17	10.01
Veolia	− 0.0000174	0.04	0.0209	− 0.79	17.07
Vinci	0.000379	1.05	0.0194	0.27	10.59
Vivendi	0.0000598	0.21	0.0155	0.07	7.5

For tests on premia, the statistics for model 1 and 2 are similar to model 3 values. M1 referring to the model with Trend and Constant, M2 the model with Constant and M3 the model with no trend and no constant