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The Regression Tendencies of Betas: A Reappraisal

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  • Kolb, Robert W
  • Rodriguez, Ricardo J
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    Abstract

    This paper reexamines the regression tendencies of beta. The authors show that common assertions in the literature about regression tendencies go well beyond the facts established by Marshall E. Blume. They analyze betas during the 1926-85 period and examine the tendencies of betas to change. Extreme betas do tend to move toward the mean. However, betas near the mean in one period tend to move way from the mean. As a result, the distribution of betas is approximately stationary over time. Copyright 1989 by MIT Press.

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    Bibliographic Info

    Article provided by Eastern Finance Association in its journal The Financial Review.

    Volume (Year): 24 (1989)
    Issue (Month): 2 (May)
    Pages: 319-34

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    Handle: RePEc:bla:finrev:v:24:y:1989:i:2:p:319-34

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    Web page: http://www.easternfinance.org/
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    Web: http://www.blackwellpublishing.com/subs.asp?ref=0732-8516

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    Cited by:
    1. Pasaribu, Rowland Bismark Fernando, 2009. "Koreksi Bias Koefisien Beta
      [Non-Synchronous Trading In Indonesia Stock Exchange]
      ," MPRA Paper 39874, University Library of Munich, Germany.
    2. Pasaribu, Rowland Bismark Fernando, 2009. "Koreksi Bias Koefisien Beta
      [Non-Synchronous Trading In Indonesia Stock Exchange]
      ," MPRA Paper 36981, University Library of Munich, Germany.
    3. Gangemi, Michael & Brooks, Robert & Faff, Robert, 1999. "Mean reversion and the forecasting of country betas: a note," Global Finance Journal, Elsevier, vol. 10(2), pages 231-245.

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