TY - JOUR
T1 - Explaining mispricing with Fama-French factors
T2 - New evidence from the multiscaling approach
AU - In, Francis
AU - Kim, Sangbae
AU - Faff, Robert
PY - 2010/2
Y1 - 2010/2
N2 - 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 traditional CAPM. In addition, the overreaction-related mispricing hypothesis explains the size effect but not the value premium. After incorporating the two risk factors (Small Minus Big (SMB) and High Minus Low (HML)), our empirical findings support the positive relationship between market risk and mean returns for big stocks, but not small stocks.
AB - 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 traditional CAPM. In addition, the overreaction-related mispricing hypothesis explains the size effect but not the value premium. After incorporating the two risk factors (Small Minus Big (SMB) and High Minus Low (HML)), our empirical findings support the positive relationship between market risk and mean returns for big stocks, but not small stocks.
UR - http://www.scopus.com/inward/record.url?scp=75949107284&partnerID=8YFLogxK
U2 - 10.1080/09603100903299667
DO - 10.1080/09603100903299667
M3 - Article
AN - SCOPUS:75949107284
SN - 0960-3107
VL - 20
SP - 323
EP - 330
JO - Applied Financial Economics
JF - Applied Financial Economics
IS - 4
ER -