More Evidence on the Nature of the Distribution of Security Returns
提出一种检验有限方差与无限方差的方法，发现证券收益分布的厚尾并非由无限方差导致，而是由随时间复杂变化的有限方差引起，建议更多研究影响收益波动的经济因素。
finance has assumed the existence of the second moment. It is, therefore, impor? tant to determine whether or not the security return distribution actually has a finite variance. In this paper, we develop a simple, yet interesting, methodology for testing finite versus infinite population variance. The results obtained indicate that the likely cause of the empirically-observed fat tails of security return distribu? tions is not an infinite variance but a finite variance that changes in a complex fashion over time. One implication of this result is that more effort should be directed towards understanding those economic factors that influence security re? turn variability. The rest of the paper is structured as follows: Section II contains a brief description of previous work; Section III describes the methodology which we employ; Section IV reports the simulation results for this methodology; Section V describes the data used; Section VI reports and discusses the results; and Sec? tion VII is a brief summary.