The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models

Randolph Westerfield

Journal of Financial and Quantitative Analysis, 1977, vol. 12, issue 5, 743-765

Abstract: The empirical distributions of price changes for speculative assets (e.g., common stocks, bonds, etc.) measured over calendar time yield a higher frequency of observations near the mean and at the tails than would be expected for a normal distribution. The sample kurtosis is almost always greater than 3—the value expected for a normal distribution—and the distributions are commonly characterized as fat-tailed and peaked (i.e., leptokurtic).

Date: 1977
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