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Common Stock Return Distributions during Homogeneous Activity Periods

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  • Dowell, C. Dwayne
  • Grube, R. Corwin

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.

Suggested Citation

  • Dowell, C. Dwayne & Grube, R. Corwin, 1978. "Common Stock Return Distributions during Homogeneous Activity Periods," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(1), pages 79-92, March.
    • Handle: RePEc:cup:jfinqa:v:13:y:1978:i:01:p:79-92_00
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