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Explaining mispricing with Fama-French factors : new evidence from the multiscaling approach

In, Francis Haeuck; Kim, Sangbae; Faff, Robert W. - In: Applied financial economics 20 (2010) 4/6, pp. 323-330

This article examines the Capital Asset Pricing Model (CAPM) over different frequencies utilizing a recently developed multiscaling method: wavelet analysis. Our empirical analysis shows that the risk factors are more relevant at the lower frequencies than at the higher frequencies in the...

Persistent link: https://www.econbiz.de/10003963131

A note on the relationship between Fama-French risk factors and innovations of ICAPM state variables

In, Francis Haeuck; Kim, Sangbae - In: Finance research letters 4 (2007) 3, pp. 165-171

Persistent link: https://www.econbiz.de/10003702375

Dynamic interaction and valuation of quality yen Eurobonds in a multivariate EGARCH framework

Batten, Jonathan A.; In, Francis Haeuck - In: Applied financial economics 16 (2006) 12, pp. 881-892

Persistent link: https://www.econbiz.de/10003377842

Determination of asset prices with an investment-specific technology model : implications for the equity premium puzzle

In, Francis Haeuck; Yoon, Jai-hyung - In: Journal of economic dynamics & control 31 (2007) 8, pp. 2637-2658

Persistent link: https://www.econbiz.de/10003499201

Timescale betas and the cross section of equity returns : framework, application, and implications for interpreting the Fama-French factors

Kang, Byoung Uk; In, Francis Haeuck; Kim, Tong Suk - In: Journal of empirical finance 42 (2017), pp. 15-39

Persistent link: https://www.econbiz.de/10011808473