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
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.
Subjects
free text keywords: finance, beta nonstationarity modelling, Management Science and Operations Research, Strategy and Management, Econometrics, Market portfolio, Modern portfolio theory, Beta (finance), Financial economics, Instability, Microeconomics, Stochastic process, Project portfolio management, Financial market, Empirical evidence, Economics
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publication . Article . 1985

Beta Instability and Stochastic Market Weights

David H. Goldenberg;