Collins, Daniel W; Ledolter, Johannes; Rayburn, Judy Dawson - In: The Journal of Business 60 (1987) 3, pp. 425-48
Although there is consensus in the finance literature that the beta risk of equity securities is stochastic, there is considerable disagreement as to whether the var iation is purely random or exhibits autocorrelation through time. To investigate this issue, the authors employ a model that...