Gençay, R.Selçuk, F.Whitcher, B.2016-02-082016-02-0820050261-5606http://hdl.handle.net/11693/24122In this paper we propose a new approach to estimating systematic risk (the beta of an asset). The proposed method is based on a wavelet multiscaling approach that decomposes a given time series on a scale-by-scale basis. The empirical results from different economies show that the relationship between the return of a portfolio and its beta becomes stronger as the wavelet scale increases. Therefore, the predictions of the CAPM model should be investigated considering the multiscale nature of risk and return. © 2004 Elsevier Ltd. All rights reserved.EnglishBeta estimationMultiresolution analysisScalingSystematic riskWaveletsArticle10.1016/j.jimonfin.2004.10.0031873-0639