A Note on the Distribution of Stock Price Changes
- 1 June 1971
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 66 (334) , 282
- https://doi.org/10.2307/2283922
Abstract
An estimator for the characteristic exponent parameter of distributions of the symmetric, stable class has been developed by Fama and Roll [2]. This estimator was applied to empirical distributions of stock price changes. A suggestive test utilizing the properties of the characteristic exponent was performed on these distributions, and the result was that stock prices do not appear to be distributed as a simple mixture of normal distributions.Keywords
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