Abstract
The beta of a stock is important in a variety of contexts, ranging from cost of capital to asset pricing theory. In particular beta estimations are broadly used in investment analysis and portfolio management. According to heterogeneous market hypothesis (Muller et al., 1997), market participants influence dynamic of prices and market on the whole in different ways. This is because the market participants may differ in their beliefs, expectations, risk profiles, etc. Therefore, the conventional ways of estimating risk-return through picking an arbitrary scale will not be statistically appropriate. In this article, we propose a new approach to estimate the systematic risk (Beta) of Indian equity market based on wavelet Maximal Overlap Discrete Wavelet Transform (MODWT) which allows data to be analyzed at different scales. The results demonstrate that the predictions of the Market Model are more relevant at medium to long run horizons.
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: Asia-Pacific Journal of Management Research and Innovation
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.
