What does Eugene Fama mean "variance of price changes over multiple days should be less than the multiple of the variance over a day"?
Thanks whoever asked this at r/econometrics.

abcxyd 9 days ago 
I don’t see how Fama’s reply relates to the initial comment at all. But what he means is if you calculate price changes over a longer horizon (e.g. a week), the variance of those price changes is not necessarily lower than the variance of daily price changes when the variances converted to the same frequency. I.e. the annualized variance of weekly price changes is not necessarily lower than the annualized variance of daily price changes. Here’s a well known paper that demonstrates this: https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1540-6261.2012.01722.x.