ABSTRACT
Knowledge of the distribution of security returns is important for both theoretical and empirical studies in finance. For instance, the distributional characteristics of stock returns have important implications for mean-variance portfolio theory, theoretical models of capital asset pricing, and valuation of contingent claims. Moreover, empirical tests of asset pricing models and the efficient market hypothesis make statistical inferences based on distributional assumptions of stock returns, and estimation of the variance is crucial for the pricing of derivative securities.
