The Distribution of Stock Returns

R. R. Officer

Journal of the American Statistical Association · 1972 · 287 citations · 12 references

Concepts

Abstract

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.

References

12