Historical returns on stocks exhibit somewhat more frequent large deviations from the mean than would be predicted

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Historical returns on stocks exhibit somewhat more frequent large deviations from the mean than would be predicted from a normal distribution. However, the discrepancies from the normal distribution tend to be minor and inconsistent across various measures of tail risk, and have declined in recent years. The lower partial standard deviation (LPSD), skew, and kurtosis of the actual distribution quantify the deviation from normality. p-963

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ISE Investments

ISBN: 9781266085963

13th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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