The Regression Tendencies of Betas: A Reappraisal

This paper reexamines the regression tendencies of beta. We show that common assertions in the literature about regression tendencies go well beyond the facts established by Blume. We analyze betas during the 1926–1985 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 away from the mean. As a result, the distribution of betas is approximately stationary over time.