A Unified Approach to Testing for Serial Correlation in Stock Returns

Journal of Business, Vol 67, No 3, July 1994

Posted: 1 Jan 1999

See all articles by Matthew P. Richardson

Matthew P. Richardson

New York University (NYU) - Department of Finance; National Bureau of Economic Research (NBER); AQR Capital Management, LLC

Tom Smith

University of Queensland - Faculty of Business, Economics and Law; Financial Research Network (FIRN)

Abstract

This article provides a unified approach for testing serial correlation in stock returns. We describe a general class of statistics which are linear combinations of consistent estimators of autocorrelations. As special cases, we show that this class captures many of the statistics studied in the recent finance and macroeconomics literature. Using this result, we then provide a common perspective on the asymptotic distribution and power of these statistics.

JEL Classification: C13, G12, G14

Suggested Citation

Richardson, Matthew P. and Smith, Tom M., A Unified Approach to Testing for Serial Correlation in Stock Returns. Journal of Business, Vol 67, No 3, July 1994, Available at SSRN: https://ssrn.com/abstract=5386

Matthew P. Richardson (Contact Author)

New York University (NYU) - Department of Finance ( email )

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National Bureau of Economic Research (NBER)

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AQR Capital Management, LLC ( email )

Greenwich, CT
United States

Tom M. Smith

University of Queensland - Faculty of Business, Economics and Law ( email )

4072 Brisbane, Queensland
Australia

Financial Research Network (FIRN) ( email )

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

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