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

Authors

  • Robert A. Schwartz,

  • David K. Whitcomb

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    • The 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.

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