search query: @author Richardson, M. / total: 15
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| Author: | Richardson, M. Smith, T. |
| Title: | A test for multivariate normality in stock returns |
| Journal: | Journal of Business
1993 : APR, VOL. 66:2, p. 295-322 |
| Index terms: | BUSINESS ECONOMICS STOCK RETURNS TESTS |
| Language: | eng |
| Abstract: | Previous research has investigated the multivariate normality of stock returns using tests based on the marginal distribution of returns. Due to the contemporaneous correlation across asset returns, these tests are difficult to interpret. The authors develop a general test procedure that takes account of the correlation across assets and that focuses on both the marginal and joint distributions of returns. The authors find highly significant evidence that stock returns and market-model residuals are nonnormal. |
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