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Stability Coefficients

Posted: Thu May 23, 2019 3:20 pm
by panos_rap

Im trying to wright my thesis "Stability of Beta for stocks and portfolios"

i estimate beta coefficient by Market Model (CAPM) Ri = Rf+beta(Rm-Rf)

I run this regression and i estimate beta and i want to check the stability in time from 2000 until 2018 i have daily obsarvations of returns, anyway i want to check the stability with CUSUM test but when i run the cusum test this tested both coefficient (Rf) and (beta)....its possible to check with cusum test only (beta) coefficient?

Thanks in advance