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The concept that portfolio betas are more stable than betas for individual securities has become the ‘conventional wisdom’ in finance; statements to this effect may be found in many popular finance textbooks. The objective of this paper is to challenge the conventional wisdom. A random sample of individual stock returns and portfolio returns is used to compare the empirical distribution of beta shifts for individual firms and portfolios. The number of statistically significant changes in beta are no greater for individual securities than for portfolios.