The Time‐Variance Relationship of Security Returns: Implications for the Return‐Generating Stochastic Process

PHILIP R. PERRY

doi:10.1111/j.1540-6261.1982.tb02228.x

The Time‐Variance Relationship of Security Returns: Implications for the Return‐Generating Stochastic Process

PHILIP R. PERRY

Finance

Research output: Contribution to journal › Article › peer-review

34 Scopus citations

Abstract

Using a test statistic which specifically allows for parameter shifts over time, we investigate the time‐variance relationship of security returns. The null hypothesis of stationary and independent increments is rejected, and the existence of a complex short‐term reversal phenomenon is reported. 1982 The American Finance Association

Original language	English
Pages (from-to)	857-870
Number of pages	14
Journal	Journal of Finance
Volume	37
Issue number	3
DOIs	https://doi.org/10.1111/j.1540-6261.1982.tb02228.x
State	Published - Jun 1982

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10.1111/j.1540-6261.1982.tb02228.x

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The Time‐Variance Relationship of Security Returns: Implications for the Return‐Generating Stochastic Process

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