GROUP EFFECTS AND BETA NONSTATIONARITY
重新检验了股票投资中的群体效应，发现贝塔非平稳性会随投资组合扩大而快速分散，过去被归为群体效应的现象实际上源于贝塔非平稳性。
Recent evidence indicates that while random diversification can lead to the elimination of the majority of systematic risk, the systematic selection of securities can result in significant group effects blocking this dissipation of unsystematic risk. The group effects associated with investment in growth, cyclical, stable and oil stocks found by Farrell and Martin and Klemkosky were reexamined while allowing for beta nonstationarity. It was found that the beta nonstationarity effect, while quite large for individual stocks and small portfolios tended diversify away quite quickly. It was further found that much of what has in the past been termed a group effect is actually the result of beta nonstationarity.