Evidence of Intertemporal Systematic Risks in the Daily Price Movements of NYSE and AMEX Common Stocks
检验了证券月度收益与市场指数之间的跨期系统性交叉依赖关系，基于1958-1967年770只NYSE股票数据，发现证券月度收益相对于市场整体运动没有一致的领先或滞后模式。
In a recent paper in this Journal Francis [3] has examined the intertemporal systematic cross dependence between the monthly returns of securities and those of a market index. Based on the monthly price behavior of a sample of 770 common stocks listed continuously on the New York Stock Exchange (NYSE) from 1958 to 1967 he concludes that, relative to the general market movement, there is no consistent pattern of leads or lags for securities' monthly returns. In other words, the monthlyreturns of securities do not precede or follow the monthly returns on the market index.