Beta stability tends to:

A) increase with an increase in portfolio size
B) decrease with an increase in market size
C) decrease over time
D) apply better the smaller the company

Question

Beta stability tends to:

A) increase with an increase in portfolio size
B) decrease with an increase in market size
C) decrease over time
D) apply better the smaller the company

Quizplus · Accepted Answer

One important result is the finding that although beta estimates for individual shares or small portfolios are not particularly stable over time,beta stability tends to increase with increases in portfolio size (Sharpe and Cooper 1974;Brooks,Faff and Lee 1995).

Beta Stability Tends To