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Further Evidence on the Stationarity of Beta Coefficients

Published online by Cambridge University Press:  06 April 2009

Rodney L. Roenfeldt ,
Gary L. Griepentrog  and
Christopher C. Pflaum
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Extract

Diversification and capital market theory in conjunction with investors' desire to quantify risk have caused the beta coefficient to receive considerable attention in recent finance literature. Results of empirical investigations of the stationarity of beta over time have been reported by Altman, Jacquillat, and Levasseur [1], Baesel [2], Blume [3], Levitz [5], and Levy [6]. Blume examined the longer-term stability of the beta coefficient, using monthly prices and successive seven-year periods, concluding that portfolio betas are very stable but individual security betas are highly unstable. Levy reported similar conclusions using weekly data and shorter-term estimates of beta; 52-week base periods; and 52-, 26-, and 13-week subsequent periods. Levitz also found portfolio betas to be stable using three-year base periods and one-year subsequent periods.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 13 , Issue 1 , March 1978 , pp. 117 - 121
Copyright
Copyright © School of Business Administration, University of Washington 1978

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References

REFERENCES

[1]Altman, Edward I.; Jacquillat, Bertrand; and Levasseur, Michel. “Comparative Analysis of Risk Measures: Fiance and the United States.” Journal of Finance (12 1974), pp. 1495–1511.Google Scholar
[2]Baesel, Jerome B. “On the Assessment of Risk: Some Further Considerations.” Journal of Finance (12 1974), pp. 91–94.Google Scholar
[3]Blume, Marshall E. “On the Assessment of Risk.” Journal of Finance (03 1971), pp. 1–10.Google Scholar
[4]Hollander, Myles, and Wolfe, Douglas A.. Nonparametric Statistical Methods. New York: John Wiley and Sons, Inc. (1973).Google Scholar
[5]Levitz, Gerald D. “Market Risk and the Management of Institutional Equity Portfolios.” Financial Analysts Journal (01–02 1974), pp. 53–60.CrossRefGoogle Scholar
[6]Levy, Robert A. “Stationarity of Beta Coefficients.” Financial Analysts Journal (11–12 1971), pp. 55–62.CrossRefGoogle Scholar