The Distribution of Daily Stock Returns and Settlement Procedures: The Paris Bourse
研究结算程序对日收益率分布的影响，以巴黎证券交易所为例，发现每月一次结算会显著改变收益率分布。
ABSTRACT In many countries settlements take place a fixed number of business days after the transaction (U.S., Japan). In other countries settlements take place periodically on a fixed date when all transactions performed before this date are settled (U.K., France, Italy). In both cases settlement procedures should cause returns not to be identically distributed over all days. The effect is likely to be the largest on markets where all trades are settled only once a month. An empirical investigation of the largest of those markets, the Paris Bourse, demonstrates the importance of the settlement procedure on the distribution of daily returns.