This paper examines the relationship between opacity and frequency dependence of systematic risk (), 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.

中文翻译：

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Beta 的不透明度和频率依赖性


本文研究了小型和大型企业的不透明度和系统风险频率依赖性之间的关系，使用小波变换在不同范围内进行估计。研究结果为不透明度的频率特定性质提供了证据，并表明，虽然不透明度与大公司在所有频率下的贝塔频率依赖性呈正相关，但对于小公司来说，这种关系在低（长期）时显着，在较高时不显着。 （短视界）频率。