英文标题：
《Fat Tails in Financial Return Distributions Revisited: Evidence from the
  Korean Stock Market》
---
作者：
Cheoljun Eom, Taisei Kaizoji, Enrico Scalas
---
最新提交年份：
2019
---
英文摘要：
  This study empirically re-examines fat tails in stock return distributions by applying statistical methods to an extensive dataset taken from the Korean stock market. The tails of the return distributions are shown to be much fatter in recent periods than in past periods and much fatter for small-capitalization stocks than for large-capitalization stocks. After controlling for the 1997 Korean foreign currency crisis and using the GARCH filter models to control for volatility clustering in the returns, the fat tails in the distribution of residuals are found to persist. We show that market crashes and volatility clustering may not sufficiently account for the existence of fat tails in return distributions. These findings are robust regardless of period or type of stock group.
---
中文摘要：
本研究通过将统计方法应用于韩国股市的广泛数据集，实证性地重新检验了股票回报分布中的厚尾现象。结果表明，近期收益率分布的尾部比过去时期要厚得多，小盘股的尾部比大盘股的尾部要厚得多。在控制了1997年韩国外汇危机并使用GARCH过滤模型控制收益率的波动性聚类后，发现残差分布中的厚尾仍然存在。我们表明，市场崩盘和波动性聚集可能无法充分解释收益分布中厚尾的存在。无论股票组的时期或类型如何，这些发现都是可靠的。
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
--

---
PDF下载：
-->