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The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models

Published online by Cambridge University Press:  19 October 2009

Randolph Westerfield
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Extract

The empirical distributions of price changes for speculative assets (e.g., common stocks, bonds, etc.) measured over calendar time yield a higher frequency of observations near the mean and at the tails than would be expected for a normal distribution. The sample kurtosis is almost always greater than 3—the value expected for a normal distribution—and the distributions are commonly characterized as fat-tailed and peaked (i.e., leptokurtic).

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 12 , Issue 5 , December 1977 , pp. 743 - 765
Copyright
Copyright © School of Business Administration, University of Washington 1977

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