We determine the conditional expected logarithmic (that is, continuously compounded) return on a stock whose price evolves in terms of the Feller diffusion and then use it to demonstrate how one must know the exact probability density that describes a stock's return before one can determine the...

We use the expected logarithmic returns formula for the Geometric Brownian Motion (GBM) in conjunction with the expected logarithmic returns formula for the Feller diffusion to illustrate the nature and magnitude of errors which arise in computed abnormal returns when one applies an expected...