재무연구 제 권 호 (2010년 11월)
Asian Review of Financial Research, Vol., No..
pp.472~503
pp.472~503
Non-normality : a source of momentum and reversal
Kwangil Bae Graduate School of Management, KAIST, Seoul, Korea
Jangkoo Kang Graduate School of Finance and Accounting, KAIST, Seoul, Korea
We suggest that stable distribution is related to the phenomena of intermediate term momentum and long term reversal. Although assumption of normal distribution seems to be reasonable due to central limit theorem, there are several papers about non-normality of financial data. Nevertheless, normal distribution is still the most popular distribution, which can lead overuse of normal distribution and misunderstanding the nature of financial data. Or frequent occurrence of extreme events can make momentum.
Kwangil Bae
Jangkoo Kang
We suggest that stable distribution is related to the phenomena of intermediate term momentum and long term reversal. Although assumption of normal distribution seems to be reasonable due to central limit theorem, there are several papers about non-normality of financial data. Nevertheless, normal distribution is still the most popular distribution, which can lead overuse of normal distribution and misunderstanding the nature of financial data. Or frequent occurrence of extreme events can make momentum.
