Goldenberg, David H. - In: Management Science 31 (1985) 4, pp. 415-421
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 … analysis for adequacy of models of beta nonstationarity and estimation of betas are considered in light of the available …