On the frequency of large stock returns: Putting booms and busts into perspective

摘要: textabstractNumerous articles have investigated the distribution of share prices, and find that returns are fat tailed. Nevertheless, there is still controversy about amount probability mass in tails, hence most appropriate to use modeling returns. This has proven hard resolve, as alternatives non-nested. We employ extreme value theory, focusing exclusively on larger observations order assess tail shape within a unified framework. at least first two moments exist. enables one generate robust probabilities large returns, which put recent stock market swings into historical perspective.