EconPapers    
Economics at your fingertips  
 

More on Beta as a Random Coefficient

Gordon Alexander and P. George Benson

Journal of Financial and Quantitative Analysis, 1982, vol. 17, issue 1, 27-36

Abstract: In their article, “Beta as a Random Coefficient,” Fabozzi and Francis [1] present evidence which suggests that beta is a random coefficient for a “significant minority” of NYSE stocks. They obtained their evidence first, by characterizing the market model as a random coefficient model of the type described by Theil and Mennes [7], and second, by estimating its parameters for a sample of NYSE stocks over the period December 1965 through December 1971. This paper describes weaknesses in Fabozzi and Francis' implementation of the estimation procedures of Theil and Mennes [7] and Hildreth and Houck [3]. Improvements are suggested and utilized in an analysis of the returns of 683 NYSE stocks over the period January I960 through December 1971. The results of the analysis indicate that Fabozzi and Francis have overstated the case for beta being a random coefficient of the form described by Theil and Mennes.

Date: 1982
References: Add references at CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:jfinqa:v:17:y:1982:i:01:p:27-36_01

Access Statistics for this article

More articles in Journal of Financial and Quantitative Analysis from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().

 
Page updated 2025-03-19
Handle: RePEc:cup:jfinqa:v:17:y:1982:i:01:p:27-36_01