The Stable-Law Model of Stock Returns
- 1 January 1988
- journal article
- research article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 6 (1) , 51-57
- https://doi.org/10.1080/07350015.1988.10509636
Abstract
This study investigates the tail shapes of empirical distributions of returns on an extensive group of common stocks. The tails of the return distributions are found to be thinner than those of infinite variance stable distributions. Therefore, although homogeneity is evident in general, economic and statistical inferences drawn from stable-law parameters estimated from samples of stock returns may be misleading. This is in spite of the apparent overall similarity (in shape) between empirical and stable distributions.Keywords
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