We argue against the view that it is mostly the peaks of the empirical densities of stock returns (and of other risky returns as well) that set such data aside from quot;normalquot; variables. We show that peaks depend on sample size and on the way returns are standardized, and that for given...

The paper investigates short-horizon individual stock returns; it exhibits statistically and economically significant autocorrelations, which for stock returns have so far been established mainly over long horizons, also for certain daily data, in particular between monday returns and various...

We try to replicate the findings in Saunders (1993) that stock prices are quot;systematically affected by local weatherquot;. Using German data, we find that whether or not the null hypothesis of no relationship can be rejected depends mostly on the way the null hypothesis is phrased, and that...