The Capm and Value at Risk at Different Time Scales
نویسنده
چکیده
In this article, we focus on the estimation of the capital asset pricing model (CAPM) at different time scales for Chile’s stock market. Our sample is comprised of twenty four 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 the higher frequencies of the data.
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