A Reexamination of the Empirical Distribution of Stock Price Changes

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...

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Bibliographic Details
Published in:Journal of the American Statistical Association 1973-06, Vol.68 (342), p.348-350
Main Authors: Barnea, Amir, Downes, David H.
Format: Article
Language:English
Subjects:
Applications
Common stock
Gaussian distributions
Non Gaussianity
Preferred stock
Price changes
Sampling bias
Sampling distributions
Standard deviation
Stock dividends
Stock prices
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Summary: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.
ISSN:0162-1459
1537-274X
DOI:10.1080/01621459.1973.10482431