SSRN Home Search and Download Papers Browse Abstract and Paper Submission Subscribe to Networks View Briefcase Top Papers Top Authors Top Institutions

 

Abstract

 
 

References (1)

Beta

 
 

Citations (1)

Beta

 


 



The Distribution of S&P 500 Index Returns

William J. Egan
Independent


January 6, 2007


Abstract:     
This paper examines the fit of three different statistical distributions to the returns of the S&P 500 Index from 1950-2005. The normal distribution is a poor fit to the daily percentage returns of the S&P 500. The lognormal distribution is a poor fit to single period continuously compounded returns for the S&P 500, which means that future prices are not lognormally distributed. However, sums of continuously compounded returns are much more normal in their distribution, as would be expected based on the central limit theorem. The t-distribution with location/scale parameters is shown to be an excellent fit to the daily percentage returns of the S&P 500 Index.

Keywords: S&P 500 index, stock returns, continuously compounded returns, normal distribution, skewness, kurtosis, lognormal distribution, risk, t-distribution

Working Paper Series

Date posted: January 10, 2007 ; Last revised: January 10, 2007

Suggested Citation

Egan, William J. , The Distribution of S&P 500 Index Returns (January 6, 2007). Available at SSRN: http://ssrn.com/abstract=955639


Export to: Export Citation What's this?

Contact Information

William J. Egan (Contact Author)
Independent ( email )
No Address Available United States
Feedback to SSRN (Beta)


Paper statistics
Abstract Views: 5,015
Downloads: 1,123
Download Rank: 4,285
References: 1
Citations: 1

© 2010 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright
This page was served by apollo5b in 0.469 seconds.