Beta Instability and Stochastic Market Weights
论证了个股贝塔的不稳定性源于市场组合权重的随机性，并将该论证推广到市值加权组合，探讨了贝塔非平稳性模型和估计的实证含义。
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 form of the stochastic process generating betas is linked to that of the market return process. The implications of this analysis for adequacy of models of beta nonstationarity and estimation of betas are considered in light of the available empirical evidence.