A reexamination of the empirical distribution of stock price changes

Amir Barnea, David H. Downes

Research output: Contribution to journalArticlepeer-review

Abstract

Teichmoeller [11] applied Fama and Roll’s [5] technique of estimating the characteristic exponent parameter of symmetric stable distributions to a sample of empirical distributions of stock price changes and found the parameter to be fairly stable as the differencing interval was increased. We criticize the sample of stocks used by Teichmoeller and, using the same estimation technique on a different sample, find the empirical distributions of stock price changes to be unstable.

Original languageEnglish
Pages (from-to)348-350
Number of pages3
JournalJournal of the American Statistical Association
Volume68
Issue number342
DOIs
StatePublished - Jun 1973
Externally publishedYes

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