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RESEARCH PRODUCT
The distribution of stock returns: international evidence
Amado Peirósubject
Economics and EconometricsFinancial economicsmedia_common.quotation_subjectStock market bubbleEconomicsRestricted stockFinanceNormalityStock (geology)media_commondescription
Although financial theory rests heavily on the normality assumption, daily stock returns display significant departures from normality. Different researchers have proposed alternative distributions. In this paper, the distribution of stock returns is examined in six stock markets. The empirical distributions present common features and are best represented by Student's t-distribution, while several alternative distributions are rejected.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 1994-12-01 | Applied Financial Economics |