Construct · 1 fields · 1 citations

variance ratio test: a standalone construct

One name. One construct. A landmark on the map.

● anchor · a standalone construct Nearest construct by meaning·not indexed

A single standalone construct; nearby constructs are located against it in the Collider. Tap a field for its definition, unit, and measures.

Asset pricing

test of the random walk hypothesis comparing the variance of multi-period returns with a multiple of the single-period variance.

In asset pricing, variance ratio test refers to test of the random walk hypothesis comparing the variance of multi-period returns with a multiple of the single-period variance. This meaning comes from Lo (1988) in Review of Financial Studies.[1]

Unit
Recovery means
Measured by

Run it through the Collider, or take the citations with you.

See how variance ratio test sits against neighbouring constructs in the Collider, or export every reference on this page in one click.

Open in Collider Export BibTeX Report this entry

Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructs efficient market hypothesis3 fields · 8 citationsjingle · one word, three constructs hypothesis2 fields · 2 citationsjingle · one word, two constructs

References

Lo, A. W., & MacKinlay, A. C. (1988). Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test. Review of Financial Studies, 1(1), 41-66. https://doi.org/10.1093/rfs/1.1.41

Cited on this page?

Confirm your construct, or correct us.

If your work is cited behind one of these entries, you know better than we do whether we captured the meaning right. Confirm it, suggest an edit, or dispute it, and your name goes on the entry as an author who has checked it, linked to your ORCID.

Claim your construct