Beta Instability and Stochastic Market Weights

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David H. Goldenberg;
  • Journal: Management Science,volume 31,issue 4 April,pages415-421
  • Related identifiers: doi: 10.1287/mnsc.31.4.415
  • Subject: finance, beta nonstationarity modelling

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 pro... View more
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