The extent of nonstationarity of beta

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

1964 • 15,720 citations

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

The financial analysts journal

1960 • 1,053 citations

ON THE ASSESSMENT OF RISK

1971 • 736 citations

BETAS AND THEIR REGRESSION TENDENCIES

1975 • 538 citations

A Possible Explanation of the Small Firm Effect

1981 • 422 citations

Beta as a Random Coefficient

1978 • 387 citations

Stocks, bonds, bills, and inflation yearbook

1993 • 385 citations

New evidence on the nature of size-related anomalies in stock prices

1983 • 362 citations

An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model

1984 • 286 citations

Evidence on the Information Content of Accounting Numbers: Accounting-Based and Market-Based Estimates of Systematic Risk

1973 • 253 citations

On the Short-Term Stationarity of Beta Coefficients

1971 • 237 citations

Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks

1980 • 179 citations

Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination

1979 • 143 citations

Systematic Risk of the CRSP Equal-Weighted Common Stock Index: A History Estimated by Stochastic-Parameter Regression

1982 • 107 citations

ON THE ASSESSMENT OF RISK: SOME FURTHER CONSIDERATIONS

1974 • 101 citations

On the Estimation and Stability of Beta

1980 • 90 citations

COMPARATIVE ANALYSIS OF RISK MEASURES: FRANCE AND THE UNITED STATES*

1974 • 81 citations

Further Evidence on the Stationarity of Beta Coefficients

1978 • 75 citations

Beta Nonstationarity, Portfolio Residual Risk and Diversification

1981 • 44 citations

A Bayesian significance test of the stationarity of regression parameters

1991 • 28 citations

The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model

1979 • 21 citations

Deleted Work

1955 • 0 citations