Linn, Scott C.; Tay, Nicholas S. P. - In: Management Science 53 (2007) 7, pp. 1165-1180
Empirical evidence on the distributional characteristics of common stock returns indicates: (1) A power-law tail index close to three describes the behavior of the positive tail of the survivor function of returns (pr(r x) ~ x<sup> -\alpha </sup>), a reflection of fat tails; (2) general linear and...
