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. We 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. We 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.
The Journal of Business ceased publication with the November 2006 issue (Volume 79, Number 6). Founded in 1928, The Journal of Business was the first scholarly journal to focus on business-related research and played a pioneering role in fostering serious academic research about business. However, in appreciation of the increasing specialization in business scholarship, as reflected in the emergence of many specialized business journals, the faculty of the University of Chicago's Graduate School of Business decided after careful deliberation and extensive dialogue to cease publication of the more broadly focused Journal at the end of 2006, after nearly eight decades of publication by the University of Chicago Press.
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© 1993 The University of Chicago Press
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