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More Evidence on the Distribution of Security Returns

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  • Hagerman, Robert L

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  • Hagerman, Robert L, 1978. "More Evidence on the Distribution of Security Returns," Journal of Finance, American Finance Association, vol. 33(4), pages 1213-1221, September.
  • Handle: RePEc:bla:jfinan:v:33:y:1978:i:4:p:1213-21
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    References listed on IDEAS

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    1. Rockwell, Charles S., 1967. "Normal Backwardation, Forecasting, and the Return to Commodity Futures Traders," Food Research Institute Studies, Stanford University, Food Research Institute.
    2. Rubinstein, Mark, 1975. "Securities Market Efficiency in an Arrow-Debreu Economy," American Economic Review, American Economic Association, vol. 65(5), pages 812-824, December.
    3. Telser, Lester G., 1967. "The Supply of Speculative Services in Wheat, Corn, and Soybeans," Food Research Institute Studies, Stanford University, Food Research Institute.
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    Citations

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    Cited by:

    1. James P. Rozelle & Bruce D. Fielitz, 1980. "Stationarity Of Common Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(3), pages 229-242, September.
    2. Panagiotis Samartzis & Nikitas Pittis & Nikolaos Kourogenis & Phoebe Koundouri, "undated". "Factor Models of Stock Returns: GARCH Errors versus Autoregressive Betas," DEOS Working Papers 1318, Athens University of Economics and Business.
    3. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2015. "Factor Models as 'Explanatory Unifiers' versus 'Explanatory Ideals' of Empirical Regularities of Stock Returns," DEOS Working Papers 1507, Athens University of Economics and Business.
    4. A. Sancetta & Satchell, S.E., 2001. "Bernstein Approximations to the Copula Function and Portfolio Optimization," Cambridge Working Papers in Economics 0105, Faculty of Economics, University of Cambridge.
    5. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2016. "Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(5), pages 445-461, August.
    6. Christophe Ley & Anouk Neven, 2013. "Simple Le Cam Optimal Inference for the Tail Weight of Multivariate Student t Distributions: Testing Procedures and Estimation," Working Papers ECARES ECARES 2013-26, ULB -- Universite Libre de Bruxelles.
    7. Gillemot, L. & Töyli, J. & Kertesz, J. & Kaski, K., 2000. "Time-independent models of asset returns revisited," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 282(1), pages 304-324.
    8. Drama, Bedi Guy Herve & Yao, Shen, 2010. "Management of Stock Price and it Effect on Economic Growth: Case study of West African Financial Markets," MPRA Paper 24907, University Library of Munich, Germany.
    9. Kullmann, L & Töyli, J & Kertesz, J & Kanto, A & Kaski, K, 1999. "Characteristic times in stock market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 269(1), pages 98-110.
    10. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, EconWPA, revised 23 Jul 2005.
    11. David Edelman & Thomas Gillespie, 2000. "The Stochastically Subordinated Poisson Normal Process for Modelling Financial Assets," Annals of Operations Research, Springer, vol. 100(1), pages 133-164, December.
    12. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
    13. Drama Bedi Guy HERVE & Yao SHEN, 2010. "Management Of Stock Price And Its Effect On Economic Growth: Case Study Of West African Financial Markets," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 5(3(13)/Fal), pages 231-246.
    14. Liuren Wu, 2006. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1445-1474, May.
    15. repec:ris:utmsje:0199 is not listed on IDEAS
    16. Safarian, Mher, 2013. "On portfolio risk estimation," Working Paper Series in Economics 52, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
    17. Nicolas Brisset, 2016. "On Performativity: Option Theory and the Resistance of Financial Phenomena," GREDEG Working Papers 2016-31, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis.
    18. McCulloch, J. Huston & Percy, E. Richard, 2013. "Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions," Journal of Econometrics, Elsevier, vol. 172(2), pages 275-282.
    19. López Martín, María del Mar & García, Catalina García & García Pérez, José, 2012. "Treatment of kurtosis in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(5), pages 2032-2045.

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