A Test for Multivariate Normality in Stock Returns

Matthew Richardson and Tom Smith

The Journal of Business, 1993, vol. 66, issue 2, 295-321

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. They find highly significant evidence that stock returns and market-model residuals are nonnormal. Moreover, this nonnormality appears in both the marginal and joint distributions of asset returns. Copyright 1993 by University of Chicago Press.

Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:66:y:1993:i:2:p:295-321

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