How Prevalent Are Stable‐Paretian Distributed Financial Variables?
用新方法检验发现，稳定帕累托分布不适合建模大多数金融变量，仅少数会计比率可能符合，建议改变金融变量建模方向。
ABSTRACT Many studies have claimed that the stable‐Paretian distribution should be used to model a wide variety of financial variables, ranging from stock and futures prices to exchange rates. Using a newly developed method, this study shows that the stable distribution is unsuitable for modeling most financial variables that are stable‐distributed. We found that the distributions of a few accounting ratios may be stable. Our conclusions support a change in the future directions of financial‐variable modeling.