MORE EVIDENCE ON THE DISTRIBUTION OF SECURITY RETURNS
One of the key assumptions of a capital asset pricing model is that security returns follow a stable symmetric distribution. Serious examination of this assumption has been undertaken. A study was made which indicates that AMEX and NYSE securities have approximately the same average characteristic e...
Gespeichert in:
| Veröffentlicht in: | The Journal of finance (New York) 1978-09, Vol.33 (4), p.1213-1221 |
|---|---|
| 1. Verfasser: | |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 1221 |
|---|---|
| container_issue | 4 |
| container_start_page | 1213 |
| container_title | The Journal of finance (New York) |
| container_volume | 33 |
| creator | Hagerman, Robert L. |
| description | One of the key assumptions of a capital asset pricing model is that security returns follow a stable symmetric distribution. Serious examination of this assumption has been undertaken. A study was made which indicates that AMEX and NYSE securities have approximately the same average characteristic exponents. When measured over sub-periods, these average exponents are stationary. This is not true of individual security characteristic exponents which bear a marked tendency to regress to mean estimate. This fact suggests that all securities have the same characteristic exponent and that any observed differences result from measurement error. The average characteristic exponents of temporally summed returns rise dramatically as the sum increases. This condition is not consistent with the stable symmetric hypothesis and indicates that stable symmetric distribution is not a reasonable description of security returns distribution. |
| doi_str_mv | 10.1111/j.1540-6261.1978.tb02058.x |
| format | Article |
| fullrecord | <record><control><sourceid>jstor_proqu</sourceid><recordid>TN_cdi_proquest_journals_194702150</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><jstor_id>2326950</jstor_id><sourcerecordid>2326950</sourcerecordid><originalsourceid>FETCH-LOGICAL-c3888-6e8745f4cb1805919179e32c5018a146a32f5b2c283102a23de583b86c116db73</originalsourceid><addsrcrecordid>eNqVkE9Pg0AQxTdGE2v1O5DqFdyZZdnFk9rSlkaLUvDPaQOUJsVqK9DYfntBmsaLB-ewM9n5vbfZR0gHqAFVXWYGcJPqFlpggC2kUcYUKZfG5oC09qtD0qIUUQcq8ZicFEVG6-K8Rfi95zua8-T2nHHX0byxFgwdredOAt-9DQO3uvD62sTphr4bvGq-E4T-eHJKjmbRokjPdr1Nwr4TdIf6nTdwuzd3esKklLqVSmHymZnEICm3wQZhpwwTTkFGYFoRwxmPMUHJgGKEbJpyyWJpJQDWNBasTTqN7ypffq7TolTZcp1_VE8qsE1BETitoPM_IbQFoESwK-qqoZJ8WRR5OlOrfP4e5VsFVNVZqkzVgak6MFVnqXZZqk0lvm7EX_NFuv2HUo28vluPlcVFY5EV5TL_bYGMiupAy_75jN5g86JMN3ssyt-UJZjg6nk8UC_s0RcjOVQP7BskWI4x</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1297128219</pqid></control><display><type>article</type><title>MORE EVIDENCE ON THE DISTRIBUTION OF SECURITY RETURNS</title><source>Periodicals Index Online</source><source>JSTOR Archive Collection A-Z Listing</source><creator>Hagerman, Robert L.</creator><creatorcontrib>Hagerman, Robert L.</creatorcontrib><description>One of the key assumptions of a capital asset pricing model is that security returns follow a stable symmetric distribution. Serious examination of this assumption has been undertaken. A study was made which indicates that AMEX and NYSE securities have approximately the same average characteristic exponents. When measured over sub-periods, these average exponents are stationary. This is not true of individual security characteristic exponents which bear a marked tendency to regress to mean estimate. This fact suggests that all securities have the same characteristic exponent and that any observed differences result from measurement error. The average characteristic exponents of temporally summed returns rise dramatically as the sum increases. This condition is not consistent with the stable symmetric hypothesis and indicates that stable symmetric distribution is not a reasonable description of security returns distribution.</description><identifier>ISSN: 0022-1082</identifier><identifier>EISSN: 1540-6261</identifier><identifier>DOI: 10.1111/j.1540-6261.1978.tb02058.x</identifier><identifier>CODEN: JLFIAN</identifier><language>eng</language><publisher>Oxford, UK: Blackwell Publishing Ltd</publisher><subject>Capital asset pricing models ; Capital assets ; Distribution ; Financial management ; Financial portfolios ; Financial securities ; Gaussian distributions ; Investments ; Investors ; Portfolio investments ; Pricing ; Return on investment ; Securities ; Securities returns ; Security portfolios ; Stationary ; Statistical deviations ; Stock exchanges ; Stock prices</subject><ispartof>The Journal of finance (New York), 1978-09, Vol.33 (4), p.1213-1221</ispartof><rights>Copyright 1978 American Finance Association</rights><rights>1978 the American Finance Association</rights><rights>Copyright Blackwell Publishers Inc. Sept. 1978</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c3888-6e8745f4cb1805919179e32c5018a146a32f5b2c283102a23de583b86c116db73</citedby><cites>FETCH-LOGICAL-c3888-6e8745f4cb1805919179e32c5018a146a32f5b2c283102a23de583b86c116db73</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.jstor.org/stable/pdf/2326950$$EPDF$$P50$$Gjstor$$H</linktopdf><linktohtml>$$Uhttps://www.jstor.org/stable/2326950$$EHTML$$P50$$Gjstor$$H</linktohtml><link.rule.ids>314,780,784,803,27869,27924,27925,58017,58250</link.rule.ids></links><search><creatorcontrib>Hagerman, Robert L.</creatorcontrib><title>MORE EVIDENCE ON THE DISTRIBUTION OF SECURITY RETURNS</title><title>The Journal of finance (New York)</title><description>One of the key assumptions of a capital asset pricing model is that security returns follow a stable symmetric distribution. Serious examination of this assumption has been undertaken. A study was made which indicates that AMEX and NYSE securities have approximately the same average characteristic exponents. When measured over sub-periods, these average exponents are stationary. This is not true of individual security characteristic exponents which bear a marked tendency to regress to mean estimate. This fact suggests that all securities have the same characteristic exponent and that any observed differences result from measurement error. The average characteristic exponents of temporally summed returns rise dramatically as the sum increases. This condition is not consistent with the stable symmetric hypothesis and indicates that stable symmetric distribution is not a reasonable description of security returns distribution.</description><subject>Capital asset pricing models</subject><subject>Capital assets</subject><subject>Distribution</subject><subject>Financial management</subject><subject>Financial portfolios</subject><subject>Financial securities</subject><subject>Gaussian distributions</subject><subject>Investments</subject><subject>Investors</subject><subject>Portfolio investments</subject><subject>Pricing</subject><subject>Return on investment</subject><subject>Securities</subject><subject>Securities returns</subject><subject>Security portfolios</subject><subject>Stationary</subject><subject>Statistical deviations</subject><subject>Stock exchanges</subject><subject>Stock prices</subject><issn>0022-1082</issn><issn>1540-6261</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1978</creationdate><recordtype>article</recordtype><sourceid>K30</sourceid><recordid>eNqVkE9Pg0AQxTdGE2v1O5DqFdyZZdnFk9rSlkaLUvDPaQOUJsVqK9DYfntBmsaLB-ewM9n5vbfZR0gHqAFVXWYGcJPqFlpggC2kUcYUKZfG5oC09qtD0qIUUQcq8ZicFEVG6-K8Rfi95zua8-T2nHHX0byxFgwdredOAt-9DQO3uvD62sTphr4bvGq-E4T-eHJKjmbRokjPdr1Nwr4TdIf6nTdwuzd3esKklLqVSmHymZnEICm3wQZhpwwTTkFGYFoRwxmPMUHJgGKEbJpyyWJpJQDWNBasTTqN7ypffq7TolTZcp1_VE8qsE1BETitoPM_IbQFoESwK-qqoZJ8WRR5OlOrfP4e5VsFVNVZqkzVgak6MFVnqXZZqk0lvm7EX_NFuv2HUo28vluPlcVFY5EV5TL_bYGMiupAy_75jN5g86JMN3ssyt-UJZjg6nk8UC_s0RcjOVQP7BskWI4x</recordid><startdate>197809</startdate><enddate>197809</enddate><creator>Hagerman, Robert L.</creator><general>Blackwell Publishing Ltd</general><general>American Finance Association</general><general>Blackwell Publishers Inc</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>FIXVA</scope><scope>FUVTR</scope><scope>JILTI</scope><scope>K30</scope><scope>PAAUG</scope><scope>PAWHS</scope><scope>PAWZZ</scope><scope>PAXOH</scope><scope>PBHAV</scope><scope>PBQSW</scope><scope>PBYQZ</scope><scope>PCIWU</scope><scope>PCMID</scope><scope>PCZJX</scope><scope>PDGRG</scope><scope>PDWWI</scope><scope>PETMR</scope><scope>PFVGT</scope><scope>PGXDX</scope><scope>PIHIL</scope><scope>PISVA</scope><scope>PJCTQ</scope><scope>PJTMS</scope><scope>PLCHJ</scope><scope>PMHAD</scope><scope>PNQDJ</scope><scope>POUND</scope><scope>PPLAD</scope><scope>PQAPC</scope><scope>PQCAN</scope><scope>PQCMW</scope><scope>PQEME</scope><scope>PQHKH</scope><scope>PQMID</scope><scope>PQNCT</scope><scope>PQNET</scope><scope>PQSCT</scope><scope>PQSET</scope><scope>PSVJG</scope><scope>PVMQY</scope><scope>PZGFC</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>197809</creationdate><title>MORE EVIDENCE ON THE DISTRIBUTION OF SECURITY RETURNS</title><author>Hagerman, Robert L.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c3888-6e8745f4cb1805919179e32c5018a146a32f5b2c283102a23de583b86c116db73</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1978</creationdate><topic>Capital asset pricing models</topic><topic>Capital assets</topic><topic>Distribution</topic><topic>Financial management</topic><topic>Financial portfolios</topic><topic>Financial securities</topic><topic>Gaussian distributions</topic><topic>Investments</topic><topic>Investors</topic><topic>Portfolio investments</topic><topic>Pricing</topic><topic>Return on investment</topic><topic>Securities</topic><topic>Securities returns</topic><topic>Security portfolios</topic><topic>Stationary</topic><topic>Statistical deviations</topic><topic>Stock exchanges</topic><topic>Stock prices</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Hagerman, Robert L.</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><collection>Periodicals Index Online Segment 03</collection><collection>Periodicals Index Online Segment 06</collection><collection>Periodicals Index Online Segment 32</collection><collection>Periodicals Index Online</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - West</collection><collection>Primary Sources Access (Plan D) - International</collection><collection>Primary Sources Access & Build (Plan A) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Midwest</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Northeast</collection><collection>Primary Sources Access (Plan D) - Southeast</collection><collection>Primary Sources Access (Plan D) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Southeast</collection><collection>Primary Sources Access (Plan D) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - UK / I</collection><collection>Primary Sources Access (Plan D) - Canada</collection><collection>Primary Sources Access (Plan D) - EMEALA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - International</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - International</collection><collection>Primary Sources Access (Plan D) - West</collection><collection>Periodicals Index Online Segments 1-50</collection><collection>Primary Sources Access (Plan D) - APAC</collection><collection>Primary Sources Access (Plan D) - Midwest</collection><collection>Primary Sources Access (Plan D) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Canada</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - EMEALA</collection><collection>Primary Sources Access & Build (Plan A) - APAC</collection><collection>Primary Sources Access & Build (Plan A) - Canada</collection><collection>Primary Sources Access & Build (Plan A) - West</collection><collection>Primary Sources Access & Build (Plan A) - EMEALA</collection><collection>Primary Sources Access (Plan D) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - Midwest</collection><collection>Primary Sources Access & Build (Plan A) - North Central</collection><collection>Primary Sources Access & Build (Plan A) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - Southeast</collection><collection>Primary Sources Access (Plan D) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - APAC</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - MEA</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>The Journal of finance (New York)</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Hagerman, Robert L.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>MORE EVIDENCE ON THE DISTRIBUTION OF SECURITY RETURNS</atitle><jtitle>The Journal of finance (New York)</jtitle><date>1978-09</date><risdate>1978</risdate><volume>33</volume><issue>4</issue><spage>1213</spage><epage>1221</epage><pages>1213-1221</pages><issn>0022-1082</issn><eissn>1540-6261</eissn><coden>JLFIAN</coden><abstract>One of the key assumptions of a capital asset pricing model is that security returns follow a stable symmetric distribution. Serious examination of this assumption has been undertaken. A study was made which indicates that AMEX and NYSE securities have approximately the same average characteristic exponents. When measured over sub-periods, these average exponents are stationary. This is not true of individual security characteristic exponents which bear a marked tendency to regress to mean estimate. This fact suggests that all securities have the same characteristic exponent and that any observed differences result from measurement error. The average characteristic exponents of temporally summed returns rise dramatically as the sum increases. This condition is not consistent with the stable symmetric hypothesis and indicates that stable symmetric distribution is not a reasonable description of security returns distribution.</abstract><cop>Oxford, UK</cop><pub>Blackwell Publishing Ltd</pub><doi>10.1111/j.1540-6261.1978.tb02058.x</doi><tpages>9</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0022-1082 |
| ispartof | The Journal of finance (New York), 1978-09, Vol.33 (4), p.1213-1221 |
| issn | 0022-1082 1540-6261 |
| language | eng |
| recordid | cdi_proquest_journals_194702150 |
| source | Periodicals Index Online; JSTOR Archive Collection A-Z Listing |
| subjects | Capital asset pricing models Capital assets Distribution Financial management Financial portfolios Financial securities Gaussian distributions Investments Investors Portfolio investments Pricing Return on investment Securities Securities returns Security portfolios Stationary Statistical deviations Stock exchanges Stock prices |
| title | MORE EVIDENCE ON THE DISTRIBUTION OF SECURITY RETURNS |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-03T22%3A23%3A18IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-jstor_proqu&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=MORE%20EVIDENCE%20ON%20THE%20DISTRIBUTION%20OF%20SECURITY%20RETURNS&rft.jtitle=The%20Journal%20of%20finance%20(New%20York)&rft.au=Hagerman,%20Robert%20L.&rft.date=1978-09&rft.volume=33&rft.issue=4&rft.spage=1213&rft.epage=1221&rft.pages=1213-1221&rft.issn=0022-1082&rft.eissn=1540-6261&rft.coden=JLFIAN&rft_id=info:doi/10.1111/j.1540-6261.1978.tb02058.x&rft_dat=%3Cjstor_proqu%3E2326950%3C/jstor_proqu%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=1297128219&rft_id=info:pmid/&rft_jstor_id=2326950&rfr_iscdi=true |