The CAPM and value at risk at different time-scales

Viviana Fernandez

doi:10.1016/j.irfa.2005.02.004

The CAPM and value at risk at different time-scales

Viviana Fernandez

Business School

Research output: Contribution to journal › Article › peer-review

72 Scopus citations

Abstract

By resorting to wavelet analysis, we estimate the capital asset pricing model (CAPM) at different time-scales for the Chilean stock market. Our sample comprises 24 stocks that were actively traded on the Santiago Stock Exchange over 1997-2002. We find evidence in support of the CAPM at a medium-term horizon. We extend the literature in this area to analyze the impact of time scaling on the computation of value at risk. We conclude that risk is concentrated at higher frequencies of the data.

Original language	English
Pages (from-to)	203-219
Number of pages	17
Journal	International Review of Financial Analysis
Volume	15
Issue number	3
DOIs	https://doi.org/10.1016/j.irfa.2005.02.004
State	Published - 2006

Keywords

CAPM
Value at risk
Wavelet analysis

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10.1016/j.irfa.2005.02.004

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title = "The CAPM and value at risk at different time-scales",

abstract = "By resorting to wavelet analysis, we estimate the capital asset pricing model (CAPM) at different time-scales for the Chilean stock market. Our sample comprises 24 stocks that were actively traded on the Santiago Stock Exchange over 1997-2002. We find evidence in support of the CAPM at a medium-term horizon. We extend the literature in this area to analyze the impact of time scaling on the computation of value at risk. We conclude that risk is concentrated at higher frequencies of the data.",

keywords = "CAPM, Value at risk, Wavelet analysis",

author = "Viviana Fernandez",

note = "Funding Information: Funds provided by FONDECYT Grant No. 1050486 and by an institutional grant of the Hewlett Foundation to CEA are greatly acknowledged. All remaining errors are the author's.",

year = "2006",

doi = "10.1016/j.irfa.2005.02.004",

language = "English",

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N1 - Funding Information: Funds provided by FONDECYT Grant No. 1050486 and by an institutional grant of the Hewlett Foundation to CEA are greatly acknowledged. All remaining errors are the author's.

PY - 2006

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N2 - By resorting to wavelet analysis, we estimate the capital asset pricing model (CAPM) at different time-scales for the Chilean stock market. Our sample comprises 24 stocks that were actively traded on the Santiago Stock Exchange over 1997-2002. We find evidence in support of the CAPM at a medium-term horizon. We extend the literature in this area to analyze the impact of time scaling on the computation of value at risk. We conclude that risk is concentrated at higher frequencies of the data.

AB - By resorting to wavelet analysis, we estimate the capital asset pricing model (CAPM) at different time-scales for the Chilean stock market. Our sample comprises 24 stocks that were actively traded on the Santiago Stock Exchange over 1997-2002. We find evidence in support of the CAPM at a medium-term horizon. We extend the literature in this area to analyze the impact of time scaling on the computation of value at risk. We conclude that risk is concentrated at higher frequencies of the data.

KW - CAPM

KW - Value at risk

KW - Wavelet analysis

UR - http://www.scopus.com/inward/record.url?scp=33745510637&partnerID=8YFLogxK

U2 - 10.1016/j.irfa.2005.02.004

DO - 10.1016/j.irfa.2005.02.004

M3 - Article

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SP - 203

EP - 219

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

IS - 3

ER -

The CAPM and value at risk at different time-scales

Abstract

Keywords

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