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- W2182014598 abstract "The capital asset pricing model (CAPM) states that the expected return on an asset depends upon its level of systematic risk. The asset’s systematic risk is measured relative to that of the market portfolio. This paper attempts to estimate the CAPM at different time scales. In this study, we use wavelets analysis, as the key empirical method for examining the relationship between the return of the stock and its systematic risk at different time scales. The proposed procedure is acted on a sample, composed of 15 selected stocks, listed on Tehran Stock Exchange (TSE) actively traded over 2004-2009. It has proved that the relationship between the return of a stock and its beta is more robust at medium and short scales. This evidence shows that the Tehran Stock Exchange market is more efficient at the 1 th to 4 th scales (2 − 32 days). This finding, therefore, shows that the predictions of the CAPM are more relevant" @default.
- W2182014598 created "2016-06-24" @default.
- W2182014598 creator A5081891328 @default.
- W2182014598 date "2012-01-01" @default.
- W2182014598 modified "2023-09-27" @default.
- W2182014598 title "Multi Scale Systematic Risk (An Application on Tehran Stock Exchange)" @default.
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