Aggarwal, Raj; Aggarwal, Reena - In: Journal of Financial Research 16 (1993) 3, pp. 209-20
This paper documents significant and persistent deviations from normality in security return distributions for the NYSE, AMEX, and NASDAQ from 1974 to 1988. Controlling for January and size effects, we find that the deviations of security return distributions from normality decline with...
