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

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The Journal of FinanceVolume 32, Issue 1 p. 41-55 Article THE TIME-VARIANCE RELATIONSHIP: EVIDENCE ON AUTOCORRELATION IN COMMON STOCK RETURNS Robert A. Schwartz, Robert A. SchwartzSearch for more papers by this authorDavid K. Whitcomb, David K. WhitcombThe authors are, respectively, Associate Professor of Economics, Graduate School of Business Administration, New York University, and Associate Professor of Finance and Economics, Graduate School of Business Administration, Rutgers University. We wish to thank Benoit Mandelbrot, Bertram Price, Richard Roll, and Norman White for their helpful comments.Search for more papers by this author Robert A. Schwartz, Robert A. SchwartzSearch for more papers by this authorDavid K. Whitcomb, David K. WhitcombThe authors are, respectively, Associate Professor of Economics, Graduate School of Business Administration, New York University, and Associate Professor of Finance and Economics, Graduate School of Business Administration, Rutgers University. We wish to thank Benoit Mandelbrot, Bertram Price, Richard Roll, and Norman White for their helpful comments.Search for more papers by this author First published: March 1977 https://doi.org/10.1111/j.1540-6261.1977.tb03240.xCitations: 34 Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onFacebookTwitterLinked InRedditWechat Citing Literature Volume32, Issue1March 1977Pages 41-55 RelatedInformation