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Non-normality : a source of momentum and reversal

초록

영어

We suggest that stable distribution is related to the phenomena of intermediate term momentum and long term reversal. Although assumption of normal distribution seems to be reasonable due to central limit theorem, there are several papers about non-normality of financial data. Nevertheless, normal distribution is still the most popular distribution, which can lead overuse of normal distribution and misunderstanding the nature of financial data. Or frequent occurrence of extreme events can make momentum.

목차

ABSTRACT
 1. Introduction
 2. Stable distribution
 3. Application
  3.1 Sample mean under stable distribution
  3.2. Two-components and stable distribution
  3.3. Discussion
 4. Conclusion
 5 Appendix: Proofs
 References

저자정보

  • Kwangil Bae Graduate School of Management, KAIST, Seoul, Korea
  • Jangkoo Kang Graduate School of Finance and Accounting, KAIST, Seoul, Korea

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