Normality of JSE Returns: Macro-outliers, Micro-outliers: an Empirical Evaluation
Previous work on the empirical distribution of security returns has found that equity returns are not normally distributed. These findings have brought the applicability of certain asset allocation and pricing frameworks into question. This study examines whether the removal of a priori macro-outlie...
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| Format: | Dissertation |
| Language: | English |
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Faculty of Commerce
2020
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| Online Access: | https://hdl.handle.net/11427/31721 |