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Erschienen in: Journal of Economics and Finance 4/2016

01.10.2016

Wavelet decomposition of heterogeneous investment horizon

verfasst von: W. D. Chen, H. C. Li

Erschienen in: Journal of Economics and Finance | Ausgabe 4/2016

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Abstract

Building on the assumptions that investors are heterogeneous and that not all of them are fully rational, the market for trading any financial instrument can be separated into several segments, each associated with a different investment horizon. Thus, the expected return on an asset for each horizon maintains a different functional relationship with an expected market return. In other words, the trading of an asset by investors with heterogeneous investment horizons results in the coexistence of multiple security market lines. This proposed theory, which offers an alternative interpretation of investment behavior from that of the capital asset pricing model (CAPM) and the efficient markets hypothesis (EMH), is verified by using the newly introduced amalgamated discrete wavelet transform.

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Fußnoten
1
The stock returns which are subject to this study include those of Google, Amazon, Qualcomm, Cisco, Gilead, Amgen, Biogen, Celgene, eBay, Mondelez International, Priceline, Texas Instruments, Costco, Twenty First Century Fox, DirectTV, Adobe Systems, Automatic Data Processing, Yahoo!, Micron Technology, Viacomb, Alexion Pharms, Cognizant Technology Solutions, Tesla Motors, Applied Maths, PACCAR, CME Group, SanDisk, T. Rowe Price Group, Western Digital, Mylan, Wynn Resorts, Broadcom, Marriott International, Fifth Third Bancorp, Avago Techonologies, Cerner, Seagate Technology, Analog Devices, Symantec, Activision Blizzard, Fastenal, Mattel, Northern Trust, Paychex, Fiserv, Autodesk, and CA. Inc.
 
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Metadaten
Titel
Wavelet decomposition of heterogeneous investment horizon
verfasst von
W. D. Chen
H. C. Li
Publikationsdatum
01.10.2016
Verlag
Springer US
Erschienen in
Journal of Economics and Finance / Ausgabe 4/2016
Print ISSN: 1055-0925
Elektronische ISSN: 1938-9744
DOI
https://doi.org/10.1007/s12197-015-9321-y

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