The Stable-Law Model of Stock Returns
研究大量普通股票收益经验分布的尾部形状，发现其比无限方差稳定分布的尾部更薄，因此基于样本估计的稳定律参数可能误导经济与统计推断。
This study investigates the tail shapes of empirical distributions of returns on an extensive group of common stocks. The tails of the return distributions are found to be thinner than those of infinite variance stable distributions. Therefore, although homogeneity is evident in general, economic and statistical inferences drawn from stable-law parameters estimated from samples of stock returns may be misleading. This is in spite of the apparent overall similarity (in shape) between empirical and stable distributions.