Further Evidence on the Stationarity of Beta Coefficients

Rodney L. Roenfeldt, Gary L. Griepentrog and Christopher C. Pflaum

Journal of Financial and Quantitative Analysis, 1978, vol. 13, issue 1, 117-121

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.

Date: 1978
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