Disclosures, Line-of-business reporting, Segment reporting, Risk

ABSTRACT The theoretical portfolio autocorrelation due solely to nonsynchronous trading is estimated from a derived model. This estimated level is found to be substantially less than that observed empirically. The theoretical and empirical relationship between portfolio size and autocorrelation also is investigated. The results of this study suggest that other price‐adjustment delay factors in addition to nonsynchronous trading cause the high autocorrelations present in daily returns on stock index portfolios.

Richard R. Simonds, Lynn Roy LaMotte, Archer McWhorter, Jr., Testing for Nonstationarity of Market: An Exact Test and Power Considerations, The Journal of Financial and Quantitative Analysis, Vol. 21, No. 2 (Jun., 1986), pp. 209-220