AN EMPIRICAL INVESTIGATION OF BETA STABILITY: PORTFOLIOS VS. INDIVIDUAL SECURITIES
通过随机样本数据，比较个股与投资组合的贝塔系数变化，发现个股的贝塔并不比投资组合更不稳定，挑战了传统观点。
The concept that portfolio betas are more stable than betas for individual securities has become the ‘conventional wisdom’ in finance; statements to this effect may be found in many popular finance textbooks. The objective of this paper is to challenge the conventional wisdom. A random sample of individual stock returns and portfolio returns is used to compare the empirical distribution of beta shifts for individual firms and portfolios. The number of statistically significant changes in beta are no greater for individual securities than for portfolios.