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THE TIME‐VARIANCE RELATIONSHIP: EVIDENCE ON AUTOCORRELATION IN COMMON STOCK RETURNS · Study

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ArticleTHE TIME‐VARIANCE RELATIONSHIP: EVIDENCE ON AUTOCORRELATION IN COMMON STOCK RETURNS

Robert Arthur Schwartz1977

Article1977

THE TIME‐VARIANCE RELATIONSHIP: EVIDENCE ON AUTOCORRELATION IN COMMON STOCK RETURNS

Robert Arthur Schwartz · David K. Whitcomb

83 citations·0/0 files stored·The Journal of Finance

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1965The Behavior of Stock-Market Prices 1963The Variation of Certain Speculative Prices 1969The Adjustment of Stock Prices to New Information 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1969Some long‐run properties of geophysical records 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices 1966Some New Stock-Market Indexes 1972The Distribution of Share Price Changes

Cited by

1978THE RETURNS GENERATION PROCESS, RETURNS VARIANCE, AND THE EFFECT OF THINNESS IN SECURITIES MARKETS 1980Testing for Market Efficiency: A Comparison of the Cumulative Average Residual Methodology and Intervention Analysis 2022A ReMeDI for Microstructure Noise 1980Intertemporal Cross-Dependence in Securities Daily Returns and the Short-Run Intervaling Effect on Systematic Risk 1997Tests and Properties of Variance Ratios in Microstructure Studies 1982

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1982The Time-Variance Relationship of Security Returns: Implications for the Return-Generating Stochastic Processarticle · 8 shared references 2001Empirical distributions of stock returns: European securities markets, 1990-95article · 7 shared references 1992A Reexamination of Finite- and Infinite-Variance Distributions as Models of Daily Stock Returnsarticle · 7 shared references 1982The Identical Distribution Hypothesis for Stock Market Prices—Location- and Scale-Shift Alternativesarticle · 7 shared references 1977Long-term dependence in common stock returnsarticle · 6 shared references 1993Modeling asset returns with alternative stable distributionsarticle · 6 shared references

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Year1977

Typearticle

Published1977-03-01

VenueThe Journal of Finance

ISSN-L0022-1082

Languageen

Citations83

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1111/j.1540-6261.1977.tb03240.x

openalex_workW1978017247

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

1979Information dissemination, market efficiency and the frequency of transactions

1989Market microstructure and price discovery on the Tokyo Stock Exchange