Differences in persistence in aggregated and disaggregated UK stock returns: a reconciliation

A comprehensive study of the level of persistence in the UK's equity market revealed that the differences between portfolio and security variance ratios can be reconciled through the use of elements of the portfolio theory. This technique has established their mathematical linkages, which proved that variance ratios of portfolio returns can predict the behavior of the returns of their component securities that is not evident from the calculation of the variance ratios of the security returns.