Infinite Density at the Median and the Typical Shape of Stock Return Distributions

Chirok Han (), Jin Seo Cho and Peter C. B. Phillips ()
Additional contact information
Jin Seo Cho: Dept. of Economics, Korea University

No 1701, Cowles Foundation Discussion Papers from Cowles Foundation, Yale University

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 L_1 estimation asymptotics in conjunction with non-parametric 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.

Keywords: Asymptotic leptokurtosis; Infinite density at the median; Least absolute deviations; Kernel density estimation; Stock returns; Stylized facts (search for similar items in EconPapers)
JEL-codes: C12 G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fmk
Date: 2009-06
View list of references

Downloads: (external link)
http://cowles.econ.yale.edu/P/cd/d17a/d1701.pdf (application/pdf)

Related works:
Working Paper: Infinite Density at the Median and the Typical Shape of Stock Return Distributions (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cwl:cwldpp:1701

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation, Yale University
Address: Yale University, Box 208281, New Haven, CT 06520-8281 USA
Contact information at EDIRC.
Series data maintained by Glena Ames ().