A Multiscale Pricing Model with the Wavelet Analysis Approach, Fama-French Three-Factor Model, and Nonliquidity in Tehran Stock Exchange

Mohammadreza Rostami; Reyhane Pouyanfard; Maryam Hashempour

Volume 1, Issue 2 , October 2017, , Pages 7-20


  The aim of this paper is to analyze the multiscale pricing model with the wavelet analysis approach, Fama-French three-factor model, and nonliquidity in Tehran Stock Exchange. It was also desirable to figure out how stock returns, Fama-French factors, and nonliquidity were related in different intervals. ...  Read More