In this paper we propose a new approach to estimating the systematic risk (the beta of an asset) in a capital asset pricing model (CAPM). The proposed method is based on a wavelet multiscaling approach that decomposes a given time series on a scale-by-scale basis. At each scale, the wavelet variance of the market return and the wavelet covariance between the market return and a portfolio are ca...

Market risk of an asset or portfolio is recognized through beta in Capital Asset Pricing Model (CAPM). Traditional estimation techniques emerge poor results when beta in CAPM assumed to be dynamic and follows auto regressive model. Kalman Filter (KF) can optimally estimate dynamic beta where measurement noise covariance and state noise covariance are assumed to be known in a state-space framewo...

Phase synchronization phenomena are directly connected with the underlying neural mechanisms of certain cognitive processes. However, only amplitude information is utilized in most electroencephalogram (EEG)-based brain-computer interfaces (BCIs). Few existing methods can simultaneously measure and phase required for classification. In this study, a novel common amplitude-phase measurement (CAP...

The simulation-based company valuation values a on the basis of risks actually present in without having to derive them from capital market data. takes into account imperfections, such as probability insolvency or lack diversification, and fulfils legal requirements auditing standards for valuation. is an alternative CAPM-based valuation, which, under assumption perfect markets, derives through...

Adrian and Franzoni (2005) suggest that beta of a stock is determined by the factor loading of its unobservable long-run beta. The fundamental idea behind this model is that investors engage in a learning process of estimating this long-run beta. In this paper, a variation of this model is tested. Instead of estimating long-run beta, investors try to learn about factor loading. Given the long-r...

This paper mainly studies the effectiveness of factor investment represented by CAPM, FF three model and five in A-share market. Since birth middle last century, it is fashionable short. When focusing on China, superiority each controversial. In this paper, we took stock reform limit board as boundary, selected data from 1997 to 2020 study significance factor, profit (RMW) or (CMA), models. Thr...