The Distribution of Returns

40 Pages Posted: 27 Aug 2016 Last revised: 15 Aug 2017

Date Written: July 28, 2017

Abstract

The distribution of the returns on investment depends on the rules in the economic system. The article reviews various return distributions, ranging from equity securities in equilibrium, to antiques bought at auction, to debt instruments with uncertain payouts. A general methodology is provided to construct distributions of returns.

Keywords: statistical distributions, returns, Cauchy distribution, heavy tails, heavy tailed distributions

JEL Classification: C01, D44, D80, G00

Suggested Citation

Harris, David E., The Distribution of Returns (July 28, 2017). Available at SSRN: https://ssrn.com/abstract=2828744 or http://dx.doi.org/10.2139/ssrn.2828744
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