Using the theory of stationary Markov chains, the authors uncover a previously unknown property of the behavior of betas. Specifically, if the cross-sectional distribution of betas is stationary over time, then the set of firms that remain in an arbitrarily chosen beta interval between one...

The stationarity of the beta distribution for 1926-1985 is rejected for the entire period as a single sample. However, results for pairs of five-year estimation periods are more consistent with stationarity. Over all possible pairs of five-year periods, stationarity in the pair-wise tests is...

Many previous studies of the U.S. bond market have focused on the yield differential, the difference in yields on corporate and government bonds of the same maturity. These studies have generally found consistent and significant relationships between the yield differential and macroeconomic...

This paper reexamines the regression tendencies of beta. The authors show that common assertions in the literature about regression tendencies go well beyond the facts established by Marshall E. Blume. They analyze betas during the 1926-85 period and examine the tendencies of betas to change....