A CROSS-SECTIONAL VARIANCE BOUNDS TEST

Authors
BOARD J BULKLEY G TONKS I
Citation
J. Board et al., A CROSS-SECTIONAL VARIANCE BOUNDS TEST, Economics letters, 42(4), 1993, pp. 373-377
Citations number
9
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
42
Issue
4
Year of publication
1993
Pages
373 - 377
Database
ISI
SICI code
0165-1765(1993)42:4<373:ACVBT>2.0.ZU;2-5
Abstract
Using data on individual stocks we apply a cross-sectional variance bo und test for each year 1926-1979. We find that for every year up to 19 59, except 1928, the variance bound is satisfied, whereas in all subse quent years the bound is violated.