An Empirical Distribution Hypothesis for Fund Returns

• 발행기관: 동국대학교 경영연구원
• 저자명: Kim, Dae‐ Lyong
• 간행물 정보: 『경영과 사례연구』제28권 제1호, 96~119쪽, 전체 24쪽
• 주제분류: 사회과학 > 사회과학일반
• 파일형태: PDF
• 발행일자: 2005.12.30

영문 초록

The most convenient distribution assumption for describing the empirical distribution of financial return is, currently, the family of stable or the finite mixtures of normal. This distribution assumption is, however, made on the real rates of returns on common stocks. The present paper focuses on applications of stable Paretian distribution and the mixtures of normal distribution hypothesis for mutual fund return because previous researches on this field are seldom found in the financial literature of the mutual fund business. Monthly mutual fund returns of 50 mutual firms are used as database. The stability and the components of normality under likelihood ratio test suggested by Fama & Roll and Kon, respectively are implemented.

목차

Ⅰ. Introduction

Ⅱ. Basic Definitions and Concepts of Distributions

Ⅲ. Data and Methodolgy

Ⅳ. Empirical Evidence

Ⅴ. Conclusion

References