Brooks, R. D.; Faff, R. W.; Gangemi, M. A. M.; Lee, J. H. H. - In: Applied Financial Economics 7 (1997) 1, pp. 9-14
Although many studies have found a non-trivial incidence of beta instability for individual common stocks, there exists controversy over the beta stability characteristics to expect in portfolios formed from these stocks. The extent is examined to which portfolio formation can diversify away...