In any case, we offer one additional combined specification that completely avoids concerns about cross-sectional dependence in returns. Specifically, we provide results for a portfolio, where each daily return is an equally weighted average of the corresponding daily returns for the G-7 stock indexes. Not surprisingly, the mean daily returns are very similar to those for the pooled results, with a nearly identical difference in returns of percent. The t-statistic for the difference is , which is significant at the level. However, the persistence results for both the pooled and the equal- weighted specification are.
