Two tests of the erogodicity of monthly security return distributions

A popular technique in finance research is to use time averaged statistics from monthly security return time series as estimates of the properties of the process generating the returns. This procedure requires the process generating returns to be ergodic. Two tests of this property are applied to monthly return data on 160 securities. The trends tests on mean and variance supports the ergodicity property on two-thirds of the securities. The rank sum test supports this property on less than half the tests. The conclusion is against the ergodicity assumption.