Abstract
The joint hypothesis that the expected return vector and the variance-covariance matrix of returns are intertemporally stationary is rejected for the monthly return data for securities included on the CRSP file. This finding is robust in that it is invariant to the type of sampling procedure used and to whether nominal or real security returns are used. In contrast, the hypothesis that the correlation matrix of returns is intertemporally stationary could not be rejected for the same samples of securities.
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