Abstract

The paper aims at contributing to the literature that tries to overcome the classical mean-variance approach to portfolio selection by investigating the behavior of Italian stock return distributions through the Pearson system of frequency curves. Results show that over finite time horizons, 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. The exceptions are more common when short time horizons are used to examine the data. When an infinite time horizon is assumed, the results are consistent with 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

2011

ISSN

Non Disponibile

ISBN

978-960-466-086-5

Numero di citazioni Wos

Nessuna citazione

Ultimo Aggiornamento Citazioni

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Numero di citazioni Scopus

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Ultimo Aggiornamento Citazioni

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Settori ERC

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Codici ASJC

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