A Reexamination of the Empirical Distribution of Stock Price Changes

Abstract
Teichmoeller [11] applied Fama and Roll's [5] technique of estimating the characteristic exponent parameter of symmetric stable distributions to a sample of empirical distributions of stock price changes and found the parameter to be fairly stable as the differencing interval was increased. We criticize the sample of stocks used by Teichmoeller and, using the same estimation technique on a different sample, find the empirical distributions of stock price changes to be unstable.