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ArticleMORE EVIDENCE ON THE DISTRIBUTION OF SECURITY RETURNS

Robert L. Hagerman1978

Article1978

MORE EVIDENCE ON THE DISTRIBUTION OF SECURITY RETURNS

Robert L. Hagerman

104 citations·0/0 files stored·The Journal of Finance

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1965The Behavior of Stock-Market Prices 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1966Equilibrium in a Capital Asset Market 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1958Liquidity Preference as Behavior Towards Risk

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Details

Year1978

Typearticle

Published1978-09-01

VenueThe Journal of Finance

ISSN-L0022-1082

Languageen

Citations104

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1111/j.1540-6261.1978.tb02058.x

openalex_workW2107058731

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1999Performance of GARCH models in forecasting stock market volatility 1983Stable Distributions and the Mixtures of Distributions Hypotheses for Common Stock Returns 1982A Bayesian Robust Detection of Shift in the Risk Structure of Stock Market Returns 199614 Probability distributions for financial models 1992A Reexamination of Finite- and Infinite-Variance Distributions as Models of Daily Stock Returns 1980Conjectured Models for Trends in Financial Prices, Tests and Forecasts 2006Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns*1985The behaviour of futures prices over time