The Distribution of Stock Returns
- 1 December 1972
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 67 (340) , 807
- https://doi.org/10.2307/2284641
Abstract
A detailed examination is made of the distribution of stock returns following reports that the distribution is best described by the symmetric stable class of distributions. The distributions are shown to be “fat-tailed” relative to the normal distribution but a number of properties inconsistent with the stable hypothesis are noted. In particular, the standard deviation appears to be a well behaved measure of scale.Keywords
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