Journal of Financial and Quantitative Analysis Vol. 13 No. 1 1978
Common Stock Return Distributions During Homogeneous Activity Periods
Abstract
According to a now classic study of stock market price behavior by Fama [6], the empirical distributions of daily log price relatives are usually stable Paretian, non-Gaussian. However, there appears to have been substantial reluctance to accept Fama's [6] research results as indicative of a fundamental return generating process which is stable Paretian, non-Gaussian. Blattberg and Gonedes [1], Clarke [4], Officer [18], Praetz [19], and Press [20] have each in their own way questioned the Fama [6] results. Most recently Hsu, Miller, and Wichern (HMW) [13] have suggested that in periods of homogeneous activity for a firm the empirical distribution of rates of return on a common share may be Gaussian, in other words, that the fundamental return generating process may be normal.
- DOI
- 10.2307/2330523
- Volume
- 13
- Issue
- 1
- Pages
- 79
- Sources
- openalex crossref