Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns: evidence in Australian data
AbstractThis paper investigates association between portfolio returns and higher-order systematic co-moments at different timescales obtained through wavelet multi-scaling- a technique that decomposes a given return series into different timescales enabling investigation at different return intervals. For some portfolios, the relative risk positions indicated by systematic co-moments at higher timescales is different from those revealed in raw returns. A strong positive (negative) linear association between beta and co-kurtosis and portfolio return in the up (down) market is observed in raw returns and at different timescales. The beta risk is priced in the up and down markets and the co-kurtosis is not. Co-skewness does not appear to be linearly associated with portfolio returns even after the up and down market split and is not priced.
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Bibliographic InfoPaper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 16/04.
Length: 30 pages
Date of creation: Oct 2004
Date of revision:
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Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Web page: http://www.buseco.monash.edu.au/depts/ebs/
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Other versions of this item:
- Don U.A. Galagedera & Elizabeth A. Maharaj, 2004. "Wavelet timescales and conditional relationship between higher- order systematic co-moments and portfolio returns: evidence in Australian data," Finance 0409056, EconWPA.
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-10-21 (All new papers)
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