Beta Instability and Stochastic Market Weights

David H. Goldenberg
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David H. Goldenberg: College of Business and Management, University of Maryland, College Park, Maryland 20742

Management Science, 1985, vol. 31, issue 4, 415-421

Abstract: An argument is given for individual firm beta instability based upon the stochastic character of the market weights defining the market portfolio and the constancy of its beta. This argument is generalized to market weighted portfolios and the form of the stochastic process generating betas is linked to that of the market return process. The implications of this analysis for adequacy of models of beta nonstationarity and estimation of betas are considered in light of the available empirical evidence.

Keywords: finance; beta nonstationarity modelling (search for similar items in EconPapers)
Date: 1985
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:31:y:1985:i:4:p:415-421

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