The Feller diffusion, filter rules and abnormal stock returns
研究了股票价格服从费勒扩散时，如何正确计算对数收益率，并指出错误设定随机过程会导致异常收益的系统性偏差，对实证研究和绩效评估有启示。
We determine the conditional expected logarithmic (i.e. continuously compounded) return on a stock whose price evolves in terms of the Feller diffusion and then use it to demonstrate how one must know the exact probability density that describes a stock’s return before one can determine the correct way to calculate the abnormal returns that accrue on the stock. We show in particular that misspecification of the stochastic process which generates a stock’s price will lead to systematic biases in the abnormal returns calculated on the stock. We examine the implications this has for the proper conduct of empirical work and for the evaluation of stock and portfolio performance.