The Regression Tendencies of Betas: A Reappraisal

Robert W Kolb and Ricardo J Rodriguez

The Financial Review, 1989, vol. 24, issue 2, 319-34

Abstract: This paper reexamines the regression tendencies of beta. The authors show that common assertions in the literature about regression tendencies go well beyond the facts established by Marshall E. Blume. They analyze betas during the 1926-85 period and examine the tendencies of betas to change. Extreme betas do tend to move toward the mean. However, betas near the mean in one period tend to move way from the mean. As a result, the distribution of betas is approximately stationary over time. Copyright 1989 by MIT Press.

Date: 1989
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Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:24:y:1989:i:2:p:319-34

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