Journal of Financial and Quantitative Analysis Vol. 13 No. 1 1978

Beta as a Random Coefficient

Frank J. Fabozzi¹; Jack Clark Francis²

¹ Ecole des Hautes Etudes Commerciales du Nord · ² Baruch College

Abstract

After Markowitz [14, p. 100] and Sharpe [19, 20] suggested estimating the beta systematic risk coefficient for market assets, finance professors, stock brokers, investment managers, and others began expending large quantities of resources each year on estimating betas. Unfortunately however, it appears that the ordinary least-squares (OLS) regressions used in nearly every instance may be inappropriate. This paper suggests that many stocks' beta coefficients move randomly through time rather than remain stable as the OLS model presumes.

DOI

10.2307/2330525

Volume

13

Issue

1

Pages

101

Sources

openalex crossref

Cite

APA 7 MLA 9 Chicago (author–date) Harvard Elsevier Harvard (JFE, JBF…) The Accounting Review Academy of Management American Marketing Association INFORMS (Management Science) Copy citation Copied ✓