Hostname: page-component-78c5997874-dh8gc Total loading time: 0 Render date: 2024-11-15T05:34:14.413Z Has data issue: false hasContentIssue false
  • English
  • Français

On the Stability of the Distribution of the Market Component in Stock Price Changes

Published online by Cambridge University Press:  19 October 2009

Menachem Brenner
Get access Rights & Permissions [Opens in a new window]

Extract

Stable distributions are suggested as being the underlying distributions for many economic variables. Capital market variables, in particular, are said to follow a member of the symmetric stable class.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 9 , Issue 6 , December 1974 , pp. 945 - 961
Copyright
Copyright © School of Business Administration, University of Washington 1974

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Barnea, A., and Downes, D. H.. “Reexamination of Empirical Distribution of Stock Price Changes.” Journal of American Statistical Association, June 1973, pp. 348–350.CrossRefGoogle Scholar
[2]Blume, M. E. “The Assessment of Portfolio Performance: An Application of Portfolio Theory.” Unpublished Ph.D. dissertation, University of Chicago, 1968.Google Scholar
[3]Cramer, H.Mathematical Methods of Statistics. Princeton, N.J.: Princeton University Press, 1945.Google Scholar
[4]David, H. A.; Hartley, H. O.; and Pearson, E. S.. “The Distribution of the Ratio in a Single Normal Sample, of Range to Standard Deviation.” Biometrica, vol. 41, 1954.CrossRefGoogle Scholar
[5]Fama, E. F. “Portfolio Analysis in a Stable Paretian Market.” Management Science, January 1965, pp. 404–418.CrossRefGoogle Scholar
[6]Fama, E. F. “Risk, Return and Equilibrium: Some Clarifying Comments.” Journal of Business, March 1968, pp. 409–419.Google Scholar
[7]Fama, E. F. “The Behavior of Stock Market Prices.” Journal of Business, January 1965, pp. 34–105.CrossRefGoogle Scholar
[8]Fama, E. F. “Risk, Return and Equilibrium.” Journal of Political Economy, January–February 1971, pp. 30–55.CrossRefGoogle Scholar
[9]Fama, E. F., and Roll, R.. “Some Properties of Symmetric Stable Distributions.” Journal of American Statistical Association, September 1968.Google Scholar
[10]Fama, E. F., and Roll, R.. “Parameter Estimates for Symmetric Stable Distributions.” Journal of American Statistical Association, June 1971, pp. 331–338.CrossRefGoogle Scholar
[11]Feller, W.An Introduction to Probability Theory and Its Applications, vol. 2. New York: Wiley and Sons, Inc., 1966.Google Scholar
[12]Granger, C. W. J., and Morgenstern, O.. Predictability of Stock Market Prices. Lexington, Mass.: D. C. Heath and Company, 1970.Google Scholar
[13]King, B. F. “Market and Industry Factors in Stock Price Behavior.” Journal of Business, 1966, pp. 139–190.CrossRefGoogle Scholar
[14]Mandelbrot, B. “The Variation of Certain Speculative Prices.” Journal of Business, October 1963, pp. 394–419.CrossRefGoogle Scholar
[15]Officer, R. R. “An Examination of the Time Series Behavior of the Market Factor of the New York Stock Exahange.” Unpublished Ph.D. dissertation, University of Chicago, December 1971.Google Scholar
[16]Pearson, E. S., and Hartley, H. O.. Biometrica Tables for Statisticians, vol. 1. Cambridge: Cambridge University Press, 1958.Google Scholar
[17]Press, S. J. “A Compound Events Model for Security Prices.” Journal of Business, July 1967, pp. 317–335.CrossRefGoogle Scholar
[18]Roll, R. “Efficient Markets, Martingales, and the Market for U.S. Government Treasury Bills.” Ph.D. dissertation, University of Chicago, 1968.Google Scholar
[19]Teichmoeller, J. “A Note on the Distribution of Stock Price Changes.” Journal of American Statistical Association, vol. 66, 1971, pp. 282–284.CrossRefGoogle Scholar
[20]Standard and Poor's Trade and Securities Statistics. Security Price Index Record, pp. 2–3.Google Scholar
[21]Weiss, L. “On the Asymptatic Joint Normality of Quantiles from a Multivariate Distribution.” Journal of Research, vol. 68B, 1964, pp. 65–66.Google Scholar