Journal of the American Statistical Association · 1972 · 287 citations · 12 references
BusinessEconomicsFinanceFinancial EconomicsQuantitative FinanceStatisticsAsset Pricing EmpiricsAsset Return ModelingCapital MarketsProbability DistributionsReturns To ScaleRisk-return AnalysisFat-tailed Return DistributionsHeavy-tailed DistributionsStable DistributionsStock Market Returns
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.
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The Behavior of Stock-Market Prices
Eugene F. Fama · The Journal of Business · 1965 · 8.7K citations
The Variation of Certain Speculative Prices
Benoît B. Mandelbrot · The Journal of Business · 1963 · 4.7K citations
Engineering, Economics, Finance +11
The Random Character of Stock Market Prices
Richard N. Rosett, Paul H. Cootner · Econometrica · 1968 · 934 citations
Market and Industry Factors in Stock Price Behavior
Benjamin F. King · The Journal of Business · 1966 · 849 citations
The Distribution of Share Price Changes
Peter Praetz · The Journal of Business · 1972 · 546 citations