A. Appendix

See Tables 15–20.


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Table 15. Average betas by industry.

industry-specific effects on size and HML factors that are absent using the standard model. The large-scale versus fine-scale information distinction that the scale version of the FF3 model is capable of capturing is found significant for portfolio performance during the majority of recessions included in our data. Finding that the wavelet-based version of the FF3 model produces better portfolio outcomes is of importance to practioners, as well as, researchers. Our main conclusion based on the inter-temporal behavior of financial characteristics estimated with the FF3 model is that risk measures that vary over time and across frequencies are needed to capture the risk dynamics associated with most downturns. The importance of scale effects during periods defined as recessions leads us to conclude that the distinct risk dynamics during recessions are better captured with a methodology that allows for scale effects, providing yet another reason why wavelet methodology is a worthwhile tool that

Sector Industry Standard Scale 1 Scale 2 Scale 3 Scale 4 Scale 5 Scale 6 Business Equipment Chips 1.190 1.192 1.160 1.145 1.183 1.193 1.309 Business Equipment Hardw 1.045 1.045 0.988 0.974 1.031 1.054 1.017 Business Equipment Softw 1.318 1.408 1.337 1.295 1.204 1.200 1.114 Chemicals Chems 1.083 1.049 1.086 1.102 1.136 1.176 1.084 Consumer Durables Hshld 0.849 0.874 0.831 0.822 0.764 0.769 0.857 Consumer Non-Durables Agric 0.863 0.894 0.844 0.851 0.894 0.850 0.826 Consumer Non-Durables Beer 0.749 0.749 0.762 0.748 0.689 0.734 0.827 Consumer Non-Durables Books 0.913 0.872 0.916 0.929 0.932 1.020 1.071 Consumer Non-Durables Clths 1.041 1.023 1.041 1.080 1.064 1.023 0.982 Consumer Non-Durables Food 0.732 0.759 0.741 0.724 0.701 0.722 0.718 Consumer Non-Durables Smoke 0.815 0.814 0.818 0.828 0.859 0.756 0.817 Consumer Non-Durables Soda 0.810 0.846 0.798 0.741 0.775 0.742 0.892 Consumer Non-Durables Toys 1.072 1.050 1.066 1.063 1.138 1.053 1.017 Consumer Non-Durables Txtls 1.011 0.977 1.031 1.047 1.018 1.012 1.011 Energy Coal 1.211 1.212 1.266 1.238 1.127 1.269 1.091 Energy Mines 1.108 1.064 1.138 1.172 1.192 1.229 1.060 Energy Oil 1.004 1.001 1.016 1.012 0.988 1.071 0.902

belongs in the methodological toolbox of practitioners in finance.

A. Appendix

98 Wavelet Theory and Its Applications

See Tables 15–20.


Sector Industry Standard Scale 1 Scale 2 Scale 3 Scale 4 Scale 5 Scale 6 Other BldMt 23.160 20.729 23.102 25.692 27.509 28.187 30.079 Other BusSv 29.792 26.771 29.044 34.174 36.579 43.397 49.071 Other Cnstr 16.446 14.352 16.451 18.835 20.246 22.905 22.818 Other Fun 12.920 11.579 13.058 14.071 15.282 16.892 20.068 Other Gold 2.172 1.752 1.859 2.948 3.147 2.995 2.716 Other Meals 15.406 14.145 14.902 16.216 18.574 20.730 21.741 Other Other 19.085 17.702 18.328 20.316 21.834 24.979 28.458 Other Trans 20.572 19.167 19.705 22.067 23.519 26.414 23.600 Shops PerSv 14.241 12.781 13.989 15.642 17.178 19.807 22.745 Shops Rtail 21.002 20.071 20.629 21.615 24.246 24.585 25.547 Shops Whlsl 24.826 22.538 24.086 27.632 30.981 36.594 37.185 Telecommunications Telcm 17.784 17.634 16.979 18.254 18.723 20.464 21.987 Utilities Util 17.385 17.873 18.222 18.486 17.156 17.952 20.056

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Sector Industry Standard Scale 1 Scale 2 Scale 3 Scale 4 Scale 5 Scale 6 Business Equipment Chips 0.1998 0.1560 0.1574 0.2144 0.2877 0.3544 0.3876 Business Equipment Hardw �0.2445 �0.4060 �0.2962 �0.1405 0.0260 0.1262 0.1714 Business Equipment Softw 0.5691 0.5265 0.6843 0.6507 0.6234 0.7560 0.8310 Chemicals Chems 0.0664 0.0408 0.0903 0.1104 0.0882 0.0286 0.0412 Consumer Durables Hshld �0.2695 �0.2885 �0.2902 �0.2755 �0.1750 �0.1320 �0.2072 Consumer Non-Durables Agric 0.3758 0.4000 0.3346 0.4365 0.3317 0.4373 0.4856 Consumer Non-Durables Beer �0.1894 �0.1742 �0.1779 �0.2261 �0.2481 �0.1270 �0.1546 Consumer Non-Durables Books 0.3068 0.3146 0.3086 0.2664 0.2520 0.2068 0.1749 Consumer Non-Durables Clths 0.4596 0.4600 0.4668 0.4470 0.3915 0.4289 0.4416 Consumer Non-Durables Food �0.0900 �0.0347 �0.0801 �0.1009 �0.1251 �0.1603 �0.2084 Consumer Non-Durables Smoke �0.2571 �0.2403 �0.2177 �0.3084 �0.2380 �0.2543 �0.2380 Consumer Non-Durables Soda �0.1360 �0.0748 �0.1717 �0.2282 �0.2255 0.0180 �0.0552 Consumer Non-Durables Toys 0.2947 0.2337 0.2728 0.3009 0.3984 0.6079 0.3526 Consumer Non-Durables Txtls 0.6164 0.6125 0.5859 0.6208 0.6822 0.5305 0.5190 Energy Coal 0.5192 0.5225 0.4946 0.5778 0.7556 0.5183 0.2613 Energy Mines 0.4235 0.4023 0.4291 0.4710 0.3921 0.4007 0.7195 Energy Oil �0.2021 �0.2319 �0.1798 �0.1753 �0.1043 �0.0953 �0.0733 Health Drugs �0.2174 �0.1567 �0.2341 �0.2440 �0.2329 �0.2875 �0.3023

Table 16. Average t-statistics for the Mkt risk parameter.

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Table 16. Average t-statistics for the Mkt risk parameter.

Sector Industry Standard Scale 1 Scale 2 Scale 3 Scale 4 Scale 5 Scale 6 Business Equipment Chips 20.058 18.676 18.987 20.548 22.601 24.972 31.644 Business Equipment Hardw 14.283 13.223 13.377 14.701 16.357 17.872 20.137 Business Equipment Softw 16.634 16.472 15.829 16.850 17.844 18.151 22.771 Chemicals Chems 21.925 19.738 21.799 23.713 25.057 28.151 27.495 Consumer Durables Hshld 17.380 16.028 16.498 18.202 19.852 22.056 27.869 Consumer Non-Durables Agric 8.821 8.099 8.490 9.475 10.377 11.386 14.378 Consumer Non-Durables Beer 10.932 9.917 10.975 11.545 11.508 13.507 17.300 Consumer Non-Durables Books 16.103 13.937 15.865 18.200 19.563 22.655 27.925 Consumer Non-Durables Clths 16.411 14.663 16.097 18.237 19.715 21.163 21.696 Consumer Non-Durables Food 16.342 15.236 16.662 18.015 18.750 19.287 18.581 Consumer Non-Durables Smoke 9.323 8.550 9.024 9.906 11.156 11.715 12.592 Consumer Non-Durables Soda 8.714 8.010 8.347 9.161 10.212 10.908 14.548 Consumer Non-Durables Toys 12.408 10.779 12.248 13.785 16.075 16.381 16.935 Consumer Non-Durables Txtls 14.762 12.818 14.965 16.364 17.847 19.035 19.842 Energy Coal 8.114 7.372 8.192 8.795 8.884 10.583 10.666 Energy Mines 12.208 10.836 12.522 13.965 13.910 15.223 15.581 Energy Oil 15.789 15.538 15.541 16.156 16.021 18.747 16.642 Health Drugs 16.934 16.820 16.901 17.337 17.415 18.129 18.117 Health Hlth 12.257 11.240 12.195 13.315 14.145 14.559 15.944 Health MedEq 15.091 13.963 15.091 16.873 16.795 18.946 17.974 Manufacturing Aero 16.333 14.903 15.914 18.339 19.158 20.647 22.643 Manufacturing Autos 17.121 15.669 16.714 18.524 20.197 21.464 22.892 Manufacturing Boxes 13.697 12.244 13.521 15.476 15.640 20.005 22.820 Manufacturing ElcEq 17.729 16.077 17.329 19.733 20.469 23.810 25.480 Manufacturing FabPr 11.949 10.657 11.535 13.547 15.453 16.114 18.031 Manufacturing Guns 9.236 8.155 8.858 9.972 11.309 13.892 14.047 Manufacturing LabEq 19.115 17.755 18.607 20.774 21.530 23.382 27.771 Manufacturing Mach 25.353 23.134 25.554 27.713 28.412 31.287 30.476 Manufacturing Paper 19.577 18.314 19.622 20.704 21.706 25.180 26.474 Manufacturing Rubbr 15.763 14.015 15.287 18.207 19.327 22.154 26.683 Manufacturing Ships 10.150 9.042 9.782 11.332 12.203 16.396 17.330 Manufacturing Steel 18.723 17.538 18.439 20.513 20.903 22.971 23.042 Money Banks 23.902 23.097 23.248 24.515 24.899 27.025 32.536 Money Fin 28.065 24.606 27.841 32.581 34.215 35.430 42.598 Money Insur 22.791 21.579 22.820 24.652 25.690 25.437 27.779 Money RlEst 13.792 12.192 13.428 15.351 16.482 18.424 23.825

100 Wavelet Theory and Its Applications



Sector Industry Standard Scale 1 Scale 2 Scale 3 Scale 4 Scale 5 Scale 6 Business Equipment Chips 2.0270 1.6195 1.5146 2.0304 2.8404 3.9464 4.8717 Business Equipment Hardw �2.1448 �3.1135 �2.2787 �1.4227 �0.1158 1.1290 1.8938 Business Equipment Softw 2.4408 2.2554 2.7149 2.4298 2.6073 3.4493 5.0468 Chemicals Chems 0.8049 0.4926 1.0285 1.1941 0.9490 0.3295 0.7415 Consumer Durables Hshld �3.5220 �3.3883 �3.5238 �3.5921 �2.8983 �2.1829 �4.8518 Consumer Non-Durables Agric 2.5105 2.2923 2.1719 2.8455 2.6389 3.4121 5.8980 Consumer Non-Durables Beer �1.7689 �1.6097 �1.7492 �2.0344 �2.1755 �0.8634 �2.7206 Consumer Non-Durables Books 3.2699 3.0658 3.0600 3.0247 2.8598 2.3327 2.7036 Consumer Non-Durables Clths 4.6459 4.2592 4.4068 4.4906 4.3727 4.9556 6.6808 Consumer Non-Durables Food �0.7780 �0.2173 �0.7536 �0.6514 �1.4482 �1.7753 �2.1650 Consumer Non-Durables Smoke �1.9182 �1.6316 �1.6903 �2.2337 �1.8367 �1.8603 �3.0293 Consumer Non-Durables Soda �1.2139 �0.7835 �1.2947 �1.6556 �2.0505 �0.5054 �1.6006 Consumer Non-Durables Toys 2.2761 1.8055 2.1091 2.3271 3.2539 5.5906 2.8274 Consumer Non-Durables Txtls 5.8602 5.3274 5.3666 5.8874 6.9126 6.0350 7.7287 Energy Coal 2.1650 2.0755 1.9526 2.3896 3.6066 2.7436 2.3730 Energy Mines 3.1107 2.7770 3.0812 3.2862 2.9662 2.7582 5.6042 Energy Oil �2.0905 �2.3782 �1.7681 �1.6474 �1.0455 �0.8614 �0.0473 Health Drugs �2.4303 �1.6248 �2.5461 �2.7498 �2.7144 �3.3888 �4.1032 Health Hlth 4.0472 3.8694 3.9082 3.8369 3.8314 4.3567 6.1027 Health MedEq 1.0414 1.1860 1.1565 0.5778 0.6632 1.1281 2.7113 Manufacturing Aero 0.7459 0.2913 0.6606 1.1866 1.6213 1.3320 2.0286 Manufacturing Autos 0.0875 �0.5022 0.1685 0.8437 0.8694 0.8037 3.2068 Manufacturing Boxes 0.9961 1.2750 0.9464 1.0394 0.8415 �0.1866 �2.0069 Manufacturing ElcEq 1.3074 1.1908 0.7994 1.6185 2.1009 2.3364 1.8252 Manufacturing FabPr 5.1538 4.7242 4.9314 5.4761 6.3364 6.1554 7.7016 Manufacturing Guns �0.1197 �0.4346 �0.4361 0.5318 0.2840 0.5103 0.2687 Manufacturing LabEq 3.4862 3.0238 3.1742 3.5787 3.7878 5.3567 8.5789 Manufacturing Mach 4.9237 4.6258 4.3522 4.9186 5.8787 5.6268 5.8431 Manufacturing Paper 1.3213 1.5565 1.2804 1.0202 0.5431 0.0406 0.6256 Manufacturing Rubbr 5.4436 4.8395 4.8241 5.9850 6.1595 7.2427 7.7446 Manufacturing Ships 2.2170 2.0087 2.0331 2.6819 2.0796 2.0421 3.0639 Manufacturing Steel 3.8506 3.5880 4.0202 3.9397 4.2276 3.9885 6.3386 Money Banks 0.8555 1.1092 0.5180 0.2203 0.4598 �1.4619 �0.9630 Money Fin 4.0807 3.8641 3.9287 3.5456 3.3965 2.9959 2.9406 Money Insur 1.5832 1.9682 2.0359 1.1199 �0.1656 �0.8606 �1.7632

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Table 17. Average parameters for SMB by industry.

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Sector Industry Standard Scale 1 Scale 2 Scale 3 Scale 4 Scale 5 Scale 6 Health Hlth 0.5992 0.6107 0.6146 0.6126 0.4997 0.5490 0.6607 Health MedEq 0.0919 0.1046 0.1111 0.0494 0.0739 0.0974 0.1784 Manufacturing Aero 0.1087 0.0759 0.1182 0.1603 0.1775 0.1178 0.1247 Manufacturing Autos �0.0033 �0.1007 �0.0018 0.0975 0.1487 0.1189 0.2935 Manufacturing Boxes 0.1144 0.1614 0.1109 0.1248 0.1137 0.0077 �0.1318 Manufacturing ElcEq 0.0835 0.0799 0.0182 0.1073 0.1636 0.1478 0.1187 Manufacturing FabPr 0.7137 0.7314 0.7014 0.7544 0.7237 0.6921 0.6956 Manufacturing Guns 0.0159 �0.0055 �0.0323 0.0950 0.0378 0.0723 0.0229 Manufacturing LabEq 0.3092 0.2681 0.2857 0.2968 0.3211 0.4689 0.5188 Manufacturing Mach 0.3527 0.3419 0.3153 0.3799 0.4194 0.4127 0.3551 Manufacturing Paper 0.1091 0.1384 0.1146 0.1011 0.0161 0.0108 �0.0158 Manufacturing Rubbr 0.5363 0.5332 0.4960 0.5663 0.5263 0.5307 0.3955 Manufacturing Ships 0.3484 0.3504 0.3106 0.4258 0.2808 0.2984 0.3986 Manufacturing Steel 0.4330 0.4086 0.4614 0.4548 0.4483 0.4327 0.7188 Money Banks 0.0651 0.0740 0.0425 0.0219 0.0581 �0.0553 0.0099 Money Fin 0.2349 0.2459 0.2314 0.1781 0.1735 0.1765 0.1781 Money Insur 0.1104 0.1417 0.1584 0.0839 �0.0180 �0.0752 �0.0715 Money RlEst 0.7355 0.7525 0.7310 0.7134 0.6523 0.7150 0.8606 Other BldMt 0.3607 0.3596 0.3574 0.3410 0.3269 0.3968 0.2694 Other BusSv 0.4879 0.5111 0.4951 0.4573 0.4539 0.4040 0.4887 Other Cnstr 0.6069 0.5831 0.6786 0.5967 0.6344 0.5671 0.5042 Other Fun 0.2688 0.2297 0.2801 0.2886 0.2084 0.4270 0.5197 Other Gold 0.4373 0.3336 0.3802 0.6402 0.5836 0.2535 0.7318 Other Meals 0.1580 0.1199 0.1692 0.1784 0.1175 0.2247 0.2498 Other Other 0.3038 0.3289 0.3575 0.2765 0.3156 0.1769 0.2268 Other Trans 0.2698 0.2699 0.2786 0.2747 0.2905 0.3822 0.2701 Shops PerSv 0.5884 0.6341 0.6142 0.4737 0.4157 0.4531 0.7126 Shops Rtail 0.0531 0.0586 0.0721 0.0506 0.0031 0.0346 0.0209 Shops Whlsl 0.4161 0.4150 0.3876 0.4291 0.3849 0.4720 0.4194 Telecommunications Telcm �0.1961 �0.1676 �0.2229 �0.2066 �0.2111 �0.2495 �0.0907 Utilities Util �0.0315 0.0290 �0.0185 �0.0309 �0.1474 �0.2308 �0.3373

Table 17. Average parameters for SMB by industry.

102 Wavelet Theory and Its Applications


Sector Industry Standard Scale 1 Scale 2 Scale 3 Scale 4 Scale 5 Scale 6 Health Drugs �0.5554 �0.5052 �0.5491 �0.5895 �0.5725 �0.6042 �0.7282 Health Hlth �0.1292 �0.0484 �0.1273 �0.1609 �0.2080 �0.1178 �0.2578 Health MedEq �0.3412 �0.2495 �0.3072 �0.4346 �0.4019 �0.5114 �0.4813 Manufacturing Aero 0.1564 0.1499 0.1667 0.1944 0.2285 0.0375 0.1123 Manufacturing Autos 0.5113 0.5198 0.4965 0.5262 0.5037 0.4832 0.5802 Manufacturing Boxes 0.0993 0.1472 0.0730 0.0643 0.1148 0.0842 �0.1027 Manufacturing ElcEq �0.0827 �0.0828 �0.1275 �0.0159 �0.1266 �0.2090 �0.1646 Manufacturing FabPr 0.2800 0.3523 0.2280 0.2061 0.2466 0.1813 0.1398 Manufacturing Guns 0.1831 0.2354 0.1139 0.1712 0.1130 0.0979 0.2811 Manufacturing LabEq �0.3127 �0.2836 �0.2694 �0.3621 �0.3496 �0.4837 �0.5052 Manufacturing Mach 0.1358 0.1126 0.1292 0.1661 0.1470 0.1298 0.2192 Manufacturing Paper 0.2291 0.2275 0.2272 0.2515 0.2642 0.1278 0.3562 Manufacturing Rubbr 0.2029 0.2476 0.2163 0.1876 0.1510 0.0427 0.0903 Manufacturing Ships 0.2085 0.2072 0.2072 0.2523 0.1929 0.1642 0.0738 Manufacturing Steel 0.6477 0.5966 0.6558 0.7183 0.7811 0.5844 0.7460 Money Banks 0.5708 0.5330 0.5573 0.5681 0.5618 0.6051 0.6895 Money Fin 0.3545 0.3418 0.3303 0.3266 0.3530 0.3187 0.3266 Money Insur 0.3219 0.3246 0.3257 0.2904 0.3173 0.3464 0.3412 Money RlEst 0.3227 0.3210 0.3064 0.2561 0.2363 0.3058 0.4090 Other BldMt 0.2165 0.1679 0.2457 0.2584 0.2389 0.1483 0.2445 Other BusSv �0.0287 0.0044 �0.0173 �0.0309 �0.0591 �0.0452 �0.1486 Other Cnstr 0.3317 0.3605 0.3720 0.2881 0.2687 0.4498 0.5322 Other Fun �0.1184 �0.0801 �0.1530 �0.1116 �0.1949 �0.2539 �0.0978 Other Gold 0.1358 0.0125 0.0852 0.2177 0.2851 0.2729 0.7532 Other Meals �0.2193 �0.2227 �0.2296 �0.2285 �0.2175 �0.3029 �0.2790 Other Other 0.0386 0.0365 0.0558 0.1012 0.0031 0.0910 0.0652 Other Trans 0.2608 0.2783 0.2557 0.2630 0.2673 0.2069 0.1664 Shops PerSv 0.0106 0.0754 0.0059 �0.0664 0.0108 �0.0061 �0.0195 Shops Rtail �0.1028 �0.0794 �0.0716 �0.1005 �0.1233 �0.2047 �0.3034 Shops Whlsl 0.0510 0.0798 0.0577 0.0503 0.0075 �0.0043 �0.0177 Telecommunications Telcm 0.2525 0.3053 0.2749 0.2256 0.1955 0.2742 0.0969 Utilities Util 0.4179 0.3718 0.4217 0.4349 0.4668 0.5126 0.3949

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Table 19. Average parameters for HML by industry.

Table 18. Average t-statistics for the size parameter, SMB.


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Table 19. Average parameters for HML by industry.

Sector Industry Standard Scale 1 Scale 2 Scale 3 Scale 4 Scale 5 Scale 6 Money RlEst 5.9944 5.4956 5.7325 5.9163 6.1071 7.1971 10.0976 Other BldMt 5.3071 5.0776 5.0110 4.7677 4.9501 5.8093 4.5240 Other BusSv 8.6517 8.1784 8.3038 8.4158 9.0863 9.5592 13.4606 Other Cnstr 5.0753 4.4826 5.3446 4.8955 5.8743 6.6856 6.7519 Other Fun 1.9042 1.6188 1.9848 2.1492 1.5732 3.7308 4.8763 Other Gold 1.4068 0.9538 1.1572 2.0191 2.3464 1.1064 2.9292 Other Meals 1.5560 1.3460 1.6073 1.5225 0.8809 2.6134 2.4165 Other Other 3.6119 3.2794 3.6755 3.2138 4.4955 3.2650 4.9368 Other Trans 3.0650 2.9089 3.0021 3.0266 3.4103 4.8166 3.8428 Shops PerSv 5.0862 5.1274 4.9562 4.2433 3.8334 4.6278 9.3979 Shops Rtail 0.8020 0.8529 0.9481 0.7217 0.0397 0.3771 �0.9400 Shops Whlsl 6.3787 5.7385 5.6478 6.6311 7.2358 10.2466 10.6375 Telecommunications Telcm �2.4523 �1.9666 �2.4536 �2.4007 �3.0064 �3.6550 �1.8704 Utilities Util �0.2203 1.1265 0.0408 �0.2535 �1.9483 �3.0557 �5.3771

Sector Industry Standard Scale 1 Scale 2 Scale 3 Scale 4 Scale 5 Scale 6 Business Equipment Chips �0.5377 �0.5285 �0.5752 �0.6469 �0.5214 �0.4729 �0.3322 Business Equipment Hardw �0.8098 �0.8607 �0.8808 �0.8076 �0.7578 �0.7139 �0.6310 Business Equipment Softw �0.6364 �0.5303 �0.6027 �0.6813 �0.7367 �0.7481 �0.7859 Chemicals Chems 0.1927 0.1449 0.1889 0.2278 0.2695 0.2417 0.3472 Consumer Durables Hshld �0.2313 �0.2352 �0.2307 �0.2223 �0.2604 �0.3878 �0.2267 Consumer Non-Durables Agric 0.0095 �0.0165 �0.0158 0.0992 0.0344 �0.0904 0.0845 Consumer Non-Durables Beer �0.2143 �0.2016 �0.1889 �0.2460 �0.2633 �0.2624 �0.0864 Consumer Non-Durables Books 0.0862 0.0981 0.0933 0.0987 0.0568 0.0769 0.2010 Consumer Non-Durables Clths 0.1122 0.1421 0.1134 0.0999 0.1115 �0.0405 �0.0016 Consumer Non-Durables Food �0.0502 �0.0040 �0.0396 �0.1035 �0.1418 �0.0782 �0.0692 Consumer Non-Durables Smoke �0.1436 �0.1884 �0.1401 �0.1125 �0.0478 �0.0634 �0.0241 Consumer Non-Durables Soda �0.1529 �0.1422 �0.1075 �0.2756 �0.2496 �0.2288 �0.0798 Consumer Non-Durables Toys �0.1494 �0.1311 �0.1945 �0.2309 �0.0376 �0.0763 �0.1821 Consumer Non-Durables Txtls 0.3158 0.3260 0.3353 0.3410 0.1587 0.1391 0.4091 Energy Coal 0.5011 0.3591 0.5568 0.5143 0.6019 0.8063 0.8292 Energy Mines 0.3804 0.3116 0.4216 0.4245 0.5255 0.3970 0.5823 Energy Oil 0.4514 0.3939 0.4899 0.5467 0.5338 0.5298 0.5488

Table 18. Average t-statistics for the size parameter, SMB.

104 Wavelet Theory and Its Applications


Author details

References

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47(2):427-465

Bruce D. McNevin<sup>1</sup> and Joan Nix2

1 Queens College, Flushing, NY, USA

2 Bank of America, New York, NY, USA

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\*

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Sector Industry Standard Scale 1 Scale 2 Scale 3 Scale 4 Scale 5 Scale 6 Other BldMt 2.3264 1.7688 2.4867 2.8982 2.8896 2.1000 3.7157 Other BusSv �0.5466 �0.1084 �0.4198 �0.5681 �1.3059 �1.3618 �4.3800 Other Cnstr 2.1102 2.0812 2.2255 1.9296 1.9579 4.0280 5.2924 Other Fun �0.5212 �0.2189 �0.7152 �0.4888 �1.3764 �1.9931 �1.2353 Other Gold 0.1164 �0.1277 �0.0720 0.3751 0.7530 0.3273 1.9220 Other Meals �1.5515 �1.3257 �1.5194 �1.7373 �2.2743 �3.2196 �3.3617 Other Other 0.4663 0.5129 0.5866 0.7305 0.0857 1.0849 2.0143 Other Trans 2.1981 2.0402 2.1532 2.5688 2.7935 2.5544 1.9368 Shops PerSv 0.2821 0.5863 0.2316 �0.1287 0.2114 0.1905 �0.2324 Shops Rtail �1.2744 �1.0379 �0.9744 �1.3434 �1.8573 �2.4995 �3.1044 Shops Whlsl 0.3727 0.5534 0.4743 0.4695 �0.2664 �0.2654 �1.1328 Telecommunications Telcm 2.0616 2.0806 2.1254 1.9210 2.2603 3.3976 2.7911 Utilities Util 4.8274 4.3822 4.9051 5.3088 5.5951 6.5609 5.8998

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[2] Berger T, Fieberg C. On portfolio optimization. The Journal of Risk Finance. 2016;17(3):

[3] Bollerslev T, Engle RF, Wooldridge JM. A capital asset pricing model with time-varying

[5] Fama E, French KR. The cross-section of expected stock returns. Journal of Finance. 1992;

[4] Daubechies I. Ten Lectures on Wavelets. CBMS-NSF Lecture Notes nr. 61. SIAM; 1992

\*Address all correspondence to: joan.nix@qc.cuny.edu

Table 20. Average t-statistics for the book-to-market parameter, HML.

An Application of Wavelets to Finance: The Three-Factor Fama/French Model http://dx.doi.org/10.5772/intechopen.74165 107


Table 20. Average t-statistics for the book-to-market parameter, HML.
