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Behavior of international stock return distributions: A simple test of functional form

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  • Errunza, Vihang
  • Hogan, Kedreth Jr.
  • Mazumdar, Sumon C.
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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Economics & Finance.

    Volume (Year): 5 (1996)
    Issue (Month): 1 ()
    Pages: 51-61

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    Handle: RePEc:eee:reveco:v:5:y:1996:i:1:p:51-61

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    Web page: http://www.elsevier.com/locate/inca/620165

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    1. Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-80, April.
    2. Praetz, Peter D, 1972. "The Distribution of Share Price Changes," The Journal of Business, University of Chicago Press, vol. 45(1), pages 49-55, January.
    3. Lau, Amy Hing-Ling & Lau, Hon-Shiang & Wingender, John R, 1990. "The Distribution of Stock Returns: New Evidence against the Stable Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 217-23, April.
    4. Hirschberg, Joseph G. & Slottje, D. J., 1989. "Remembrance of things past the distribution of earnings across occupations and the kappa criterion," Journal of Econometrics, Elsevier, vol. 42(1), pages 121-130, September.
    5. Errunza, Vihang R. & Losq, Etienne, 1985. "The behavior of stock prices on LDC markets," Journal of Banking & Finance, Elsevier, vol. 9(4), pages 561-575, December.
    6. Blattberg, Robert & Sargent, Thomas J, 1971. "Regression with Non-Gaussian Stable Disturbances: Some Sampling Results," Econometrica, Econometric Society, vol. 39(3), pages 501-10, May.
    7. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
    8. Solnik, Bruno H, 1973. "Note on the Validity of the Random Walk for European Stock Prices," Journal of Finance, American Finance Association, vol. 28(5), pages 1151-59, December.
    9. Salem, A B Z & Mount, T D, 1974. "A Convenient Descriptive Model of Income Distribution: The Gamma Density," Econometrica, Econometric Society, vol. 42(6), pages 1115-27, November.
    10. Thurow, Lester C, 1970. "Analyzing the American Income Distribution," American Economic Review, American Economic Association, vol. 60(2), pages 261-69, May.
    11. Akgiray, Vedat, 1989. "Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts," The Journal of Business, University of Chicago Press, vol. 62(1), pages 55-80, January.
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    Cited by:
    1. Fabio Pizzutilo, 2013. "The Distribution of the Returns of Japanese Stocks and Portfolios," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 3(9), pages 1249-1259, September.

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