| Article ID: | iaor19931386 |
| Country: | Belgium |
| Volume: | 31 |
| Start Page Number: | 17 |
| End Page Number: | 33 |
| Publication Date: | Jan 1991 |
| Journal: | Belgian Journal of Operations Research, Statistics and Computer Science |
| Authors: | Hallerbach Winfried G. |
| Keywords: | CAPM-beta |
A theoretical multi-factor return generating process of securities is specified by means of which fundamental shifts in the structure of the economy can be modelled. The conditions under which CAPM’s risk measure ‘beta’ will be constant in this changing economy are then analyzed. These conditions are very restrictive and not likely to be met in practice.