Decline In Beta Research Articles

Where is Beta Going? The Riskiness of Value and Small Stocks

This paper finds that the market betas of value and small stocks have decreased by about 75% in the second half of the twentieth century. The path of beta can be closely tracked using variables that summarize the state of the economy. On the basis of this analysis, the decline in beta can be related to a long-term improvement in economic conditions that made these companies less risky. Decomposing beta into the cash flow and expected return news components confirms that the payoffs of these companies are less sensitive to market conditions. This finding has implications for the debate on the CAPM anomalies.

Trading Profits in Dutch Auction Self-Tender Offers

We document abnormal trading profits in Dutch auction self-tenders. Tender period profits-buying after announcement and selling just before expiration-are 1.74 percent (Bhagat, Brickley, and Lowenstein (1987) report similar profits for interfirm tenders). Buying just before expiration and tendering yields abnormal profits of 1.36 percent (Lakonishok and Vermaelen (1990) report 9 percent for fixed-price self-tenders using a filter rule). Total profits from buying just after announcement and tendering remain positive after adjusting for bid-ask spreads. Trading profits are higher for smaller firms, and positively correlated with tender period unsystematic risk, suggesting that they arise due to the pricing of event risk. Two RECENT PAPERS DOCUMENT that abnormal profits can be earned by trading in the shares of firms subject to a tender offer. Bhagat, Brickley, and Lowenstein (1987) examine interfirm tender offers, and report a cumulative abnormal return of about 2 percent to a strategy of buying shares two days after announcement of the offer, and selling on the day before expiration. They point out that, due to a substantial decline in beta during the tender period, the return of 2 percent is an underestimate of abnormal profits. For fixed-price self-tenders, Lakonishok and Vermaelen (1990) find that buying shares just before expiration (using a simple filter rule), and tendering, generates abnormal returns of more than 9 percent. The abnormal returns are positive for more than 90 percent of the trades, and have not declined over time; they are 11 percent during 1980 to 1986 compared with 8 percent during 1962 to 1979. Taken together, this evidence calls into question the efficiency of market

�-Adrenoceptors in the transplanted human heart: unaltered �-adrenoceptor density, but increased proportion of �2-adrenoceptors with increasing posttransplant time

To study whether in the (denervated) transplanted human heart beta-adrenoceptors are up-regulated we determined in right ventricular endomyocardial biopsies (weighing 2-7 mg) of 8 heart transplant recipients beta-adrenoceptor density and beta 1:beta 2-adrenoceptor ratio in weekly, later monthly intervals for 6-18 posttransplant months. beta-adrenoceptor density was assessed by 1-2 concentration (-)-[125I]-iodocyanopindolol (ICYP, 200 and 150 pmol/l) binding, the beta 1:beta 2-adrenoceptor ratio by a beta 1-adrenoceptor saturating concentration of the selective beta 1-adrenoceptor antagonist CGP 20712 A (500 nmol/l). In biopsies taken from the donor hearts immediately before transplantation beta-adrenoceptor density was 64.5 +/- 6.3 fmol ICYP bound/mg protein (n = 5), the beta 1:beta 2-adrenoceptor ratio 81.2 +/- 2.2:18.8 +/- 2.2%. beta-Adrenoceptor density did not change during the whole period investigated; it was in the first 9 posttransplant weeks 73.1 +/- 8.3 (n = 22) and after 4-18 months 74.2 +/- 7.6 fmol/mg protein (n = 16). In contrast, with increasing posttransplant time beta 1:beta 2-adrenoceptor ratio was shifted towards beta 2-adrenoceptors: in the first 9 weeks it was 80:20% (n = 17), after 16 weeks 75:25% (n = 10) and after 25-80 weeks 65:35% (n = 7). We conclude that in the first 18 posttransplant months beta-adrenoceptors in the transplanted human heart are not up-regulated. There is, however, a gradual decline in beta 1- and increase in beta 2-adrenoceptors with increasing posttransplant time. As noradrenaline acts in the human heart solely at beta 1-adrenoceptors, while adrenaline activates both beta 1- and beta 2-adrenoceptors with about the same potency, with increasing posttransplant time (and increasing proportion of beta 2-adrenoceptors) adrenaline may play an important role for regulation of contractility and/or heart rate in heart transplant recipients.

Age-related subsensitivity of cerebellar Purkinje neurons to locally applied beta 1-selective adrenergic agonist

Previous electrophysiological studies in aged rats have revealed a number of deficits in noradrenergic neurotransmission in the central nervous system. Such deficits include subsensitivity to the depressant effects of norepinephrine on cerebellar Purkinje neurons, which has been attributed specifically to altered beta adrenergic receptor-mediated processes. The objective of this study was to determine which beta adrenergic receptor subtype, beta 1 or beta 2, in responsible for this age-related subsensitivity. The effects of beta 1 and beta 2 agonists on spontaneous activity of Purkinje neurons was first examined in young rats and the selectivity of these agents was validated using selective beta 1 and beta 2 antagonists. The effects of the selective beta 1 and beta 2 agonists were then compared in young (3-month-old) and aged (18- and 26-month-old) Fischer 344 rats. These agents were applied to Purkinje neurons by pressure microejection from multibarreled micropipettes and the change in neuronal action potential discharge rate was recorded. Both dobutamine, a beta 1-selective agonist, and zinterol, a beta 2-selective agonist, induced dose-dependent inhibitions of Purkinje cell firing rate. Dobutamine-induced inhibitions were blocked by the selective beta 1 antagonist, ICI 89406 and not by the beta 2-selective antagonist, ICI 118551; conversely, zinterol-induced inhibitions were not blocked by ICI 89406 but were blocked by the presence of ICI 118551. Purkinje neurons of both groups of aged rats were significantly less sensitive to locally applied dobutamine than Purkinje cells of young rats. Subsensitivity to zinterol was not observed in either of the aged groups. These results suggest an age-related functional decline in beta 1 adrenergic receptor-mediated processes, with no concomitant change in beta 2 receptor-mediated processes. Since beta 1 adrenergic receptors modulate inhibitory afferent input to Purkinje neurons, a process that may be critical in maintaining intact motor function, this selective subsensitivity may be an important factor contributing to the motor dysfunctions often seen in the e elderly.

The Shape of the Maximum Expiratory Flow Volume Curve

Differences in the shape of the maximum expiratory flow volume (MEFV) curve have been associated with pathologic states and physiologic differences between normal individuals. We describe variations in a new parameter, angle beta, which characterizes the general configuration of the MEFV curve among healthy subjects and subjects with disease in 5,140 white individuals. Women had consistently larger beta angles than men. There was a progressive decline in beta with advancing age. Cigarette smokers had lower beta angles than did lifetime never-smokers. Subjects with abnormal lung function patterns had lower beta angles than individuals with a normal pattern. Finally, individuals with asthma, chronic bronchitis, dyspnea and wheezing had significantly lower beta angles than healthy individuals. Further clinical and epidemiologic studies are needed to evaluate this measurement's possible value in pulmonary function evaluation.