publication . Article . 1985

Beta Instability and Stochastic Market Weights

David H. Goldenberg;
Open Access
  • Published: 01 Jan 1985 Journal: Management Science, volume 31, issue 4 April, pages 415-421
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.
Persistent Identifiers
free text keywords: finance, beta nonstationarity modelling, Management Science and Operations Research, Strategy and Management, Modern portfolio theory, Project portfolio management, Beta (finance), Market portfolio, Stochastic process, Economics, Financial market, Financial economics, Empirical evidence, Instability
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