Abstract:
ThP. tit l P. of thP. stll<iy is "1'hP. P.ffP.r.t of c;ommon stoc;k hP.t r:l
variability on the variability of the portfolio betau.
A detailed literature review was conrlucted anrl an extension
to thP. previous resea.rches, seconda.ry da.ta. wa.s collected in
the form of five year daily return tape of stock prices of
forty companies . The stocks to be included in the study for
the purpose of research have no missing observation and are
most tra.ded in thP. stock P.xcha.nge. ThP. rela.tionship bP.tween
the variability of individual stock betas and the
variability of small portfolio betas is tested . Stocks are
comhined into small portfolios using two measurP.s of beta
va.riability, the sta.ndArd devia.tion of beta. a.nd the
coefficient of variation of beta . Further the Spearman
correlation and regression tests are applied .
The following results Are
managers of small portfolios :
beta variability cannot be
of pa.rticulAr interest to
(l) minimization of portfolio
achieved by combining stocks
which, individually,
stocks with low
variability .
have low beta variability, anrl (?)
hAvP. greAter rP.lAtivP. bP.tA
