Groenewold, Nicolaas; Fraser, Patricia - In: Mathematics and Computers in Simulation (MATCOM) 48 (1999) 4, pp. 531-539
It is well known that the CAPM beta is not stable over time. We investigate the nature of the time-variation in betas using monthly Australian data from 1979 to 1994 for 23 sectors. We discuss beta estimates for sub-periods and tests of the statistical adequacy of the market model used to...