Our purpose here is to develop the Pearson Type IV distribution as a candidate for modelling the evolution of short period stock index returns. Here, early work by <link rid="b43 b44">Praetz (1972 and 1978)</link> and <link rid="b5">Blattberg and Gonedes (1974)</link> has shown that the scaled '"t"' distribution, which is a particular...

Our purpose here is to assess whether the innate properties of the double entry bookkeeping system are such that financial ratios, calculated from the balance sheet summary measures implied by it, will be generated by distributional forms with non-convergent moments. Our analysis begins with a...

We show here that risky asset returns generating processes stated in terms of factors which include both accounting and non-accounting based measures of risk (e.g. book to market ratios) imply, under fairly standard regularity conditions, that the Sharpe-Lintner-Black asset pricing model beta is...