Abstract

Pearson’s system of continuous probability distributions is used herein to analyse return distributions of the shares in all companies listed on the Italian stock exchange. Results show that when finite time periods are examined, the type IV distribution describes the behaviour of almost all returns on stocks. The occasional exceptions to this rule appear to be linked only with the occurrence of extraordinary events in the life of a company. When an infinite time horizon is assumed, the results do not reject the hypothesis that the distributions are of type VII, which is a special, symmetrical and hyperkurtotical case of type IV distribution that subsumes the Student's t and the Cauchy distributions, and is easier to deal with in practice

Autore Pugliese

• Pizzutilo Fabio

Tutti gli autori

• PIZZUTILO F.

Titolo volume/Rivista

Non Disponibile

Anno di pubblicazione

2012

ISSN

1545-2921

ISBN

Non Disponibile

Numero di citazioni Wos

Nessuna citazione

Ultimo Aggiornamento Citazioni

Non Disponibile

Numero di citazioni Scopus

1

Ultimo Aggiornamento Citazioni

Non Disponibile

Settori ERC

Non Disponibile

Codici ASJC

Non Disponibile