The Siable-Law Model of Stock Returns |
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Authors: | Vedat Akgiray G. Geoffrey Booth |
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Affiliation: | 1. Faculty of Economics and Finance , Clarkson University , Potsdam , NY , 13676;2. College of Business Administration, Louisiana State University , Baton Rouge , LA , 70803 |
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Abstract: | This study investigates the tail shapes of empirical distributions of returns on an extensive group of common stocks. The tails of the return distributions are found to be thinner than those of infinite variance stable distributions. Therefore, although homogeneity is evident in general, economic and statistical inferences drawn from stable-law parameters estimated from samples of stock returns may be misleading. This is in spite of the apparent overall similarity (in shape) between empirical and stable distributions. |
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Keywords: | Asymmetric distribution Goodness of fit Tail shape Generalized Pareto distribution |
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