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

Chirok Han, Jin Seo Cho () and Peter Phillips

No 914, Discussion Paper Series from Institute of Economic Research, Korea 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 L1 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)
Pages: 32 pages
Date: 2009
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Infinite Density at the Median and the Typical Shape of Stock Return Distributions (2011)
Journal Article: Infinite Density at the Median and the Typical Shape of Stock Return Distributions (2011)
Working Paper: Infinite Density at the Median and the Typical Shape of Stock Return Distributions (2009)
Working Paper: Infinite Density at the Median and the Typical Shape of Stock Return Distributions (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:iek:wpaper:0914

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