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Opacity and frequency dependence of beta

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  • Ejaz, Sana
  • Volkov, Vladimir

Abstract

This paper examines the relationship between opacity and frequency dependence of systematic risk (β), estimated over different horizons using Wavelet Transform, for small and large firms. The findings provide evidence for the frequency-specific nature of opacity and suggest that while opacity is positively related to the frequency dependence of beta for large firms at all frequencies, for small firms the relationship is significant at low (long horizon) and insignificant at higher (short horizon) frequencies.

Suggested Citation

  • Ejaz, Sana & Volkov, Vladimir, 2024. "Opacity and frequency dependence of beta," Finance Research Letters, Elsevier, vol. 67(PB).
    • Handle: RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008870
    DOI: 10.1016/j.frl.2024.105857
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