Infinite density at the median and the typical shape of stock return distributions

Chirok Han, Jin Seo Cho, Peter C.B. Phillips

Research output: Contribution to journalArticle

4 Citations (Scopus)

Abstract

Statistics are developed to test for the presence of an asymptotic discontinuity (or infinite density or peakedness) in a probability density at the median. The approach makes use of work by Knight (1998) on L1 estimation asymptotics in conjunction with nonparametric kernel density estimation methods. The size and power of the tests are assessed, and conditions under which the tests have good performance are explored in simulations. The new methods are applied to stock returns of leading companies across major U.S. industry groups. The results confirm the presence of infinite density at the median as a new significant empirical evidence for stock return distributions.

Original languageEnglish
Pages (from-to)282-294
Number of pages13
JournalJournal of Business and Economic Statistics
Volume29
Issue number2
DOIs
Publication statusPublished - 2011 Apr 1

Fingerprint

Stock Returns
Peakedness
Kernel Density Estimation
Probability Density
Discontinuity
statistics
Industry
Statistics
simulation
industry
performance
evidence
Median
Stock return distribution
Simulation
Group

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Social Sciences (miscellaneous)
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

Cite this

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Infinite density at the median and the typical shape of stock return distributions. / Han, Chirok; Cho, Jin Seo; Phillips, Peter C.B.

In: Journal of Business and Economic Statistics, Vol. 29, No. 2, 01.04.2011, p. 282-294.

Research output: Contribution to journalArticle

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