Abstract
The purpose of this paper is to consider the utilities of using value at risk (VaR) as an explanatory factor of stock returns in addition to the Fama-French risk factors over different investment periods. In order to describe the relationships between factors and stock returns and to examine the explanatory power of the four factor model at different timescales, we exploit the properties of the multi-resolution analysis (MRA) based on maximal overlap discrete wavelet transform (MODWT). The four factor model proposed by Turan G. Bali and Nusret Cakici illustrates well the cross-sectional returns while the timescale increases. The portfolio returns are more sensitive to the market risk and size risk. The portfolio risk effect, measured by the VaR, is handed-over in question because its weakness and the addressed criticism following the current financial crisis.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: International Journal of Decision Sciences, Risk and Management
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
