Abstract
Diversification and capital market theory in conjunction with investors' desire to quantify risk have caused the beta coefficient to receive considerable attention in recent finance literature. Results of empirical investigations of the stationarity of beta over time have been reported by Altman, Jacquillat, and Levasseur [1], Baesel [2], Blume [3], Levitz [5], and Levy [6]. Blume examined the longer-term stability of the beta coefficient, using monthly prices and successive seven-year periods, concluding that portfolio betas are very stable but individual security betas are highly unstable. Levy reported similar conclusions using weekly data and shorter-term estimates of beta; 52-week base periods; and 52-, 26-, and 13-week subsequent periods. Levitz also found portfolio betas to be stable using three-year base periods and one-year subsequent periods.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: The Journal of Financial and Quantitative Analysis
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
