The E-V stationarity of secure returns: Some empirical evidence |
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| Institution: | 1. Department of Molecular Biomedical Sciences, College of Veterinary Medicine, North Carolina State University, 1060 William Moore Drive, Raleigh, NC, 27607, USA;2. Department of Evolutionary Anthropology, Box 90383, Duke University, Durham, NC, 27708, USA;3. Evolutionary Studies Institute, University of the Witwatersrand, Private Bag 3, Wits 2050, Johannesburg, South Africa;4. School of Sport, Exercise and Health Sciences, Loughborough University, Loughborough, LE11 3TU, United Kingdom;1. Naturalis Biodiversity Center, Leiden, The Netherlands;2. National and Kapodistrian University of Athens, 15784 Athens, Greece;3. Department of Earth Sciences, Utrecht University, Utrecht, The Netherlands;1. Institut Català de Paleontologia Miquel Crusafont (ICP), ICTA-ICP, Edifici Z, c/de les Columnes, s/n., Campus de la UAB, 08193 Bellaterra, Barcelona, Spain;2. ICREA at Institut Català de Paleontologia Miquel Crusafont (ICP), ICTA-ICP, Edifici Z, c/de les Columnes, s/n., Campus de la UAB, 08193 Bellaterra, Barcelona, Spain |
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| 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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