The CAPM and value at risk at different time-scales

By resorting to wavelet analysis, we estimate the capital asset pricing model (CAPM) at different time-scales for the Chilean stock market. Our sample comprises 24 stocks that were actively traded on the Santiago Stock Exchange over 1997-2002. We find evidence in support of the CAPM at a medium-term horizon. We extend the literature in this area to analyze the impact of time scaling on the computation of value at risk. We conclude that risk is concentrated at higher frequencies of the data.