Date of Defense

Fall 11-21-1997



First Advisor

Daniel Mihalko, Mathematics & Statistics

Second Advisor

David Burnie, Finance and Commercial Law

Third Advisor

Julie Scott, Computing Services


The author attempted to reproduce the the results of a paper published in 1995 by Charles P. Jones and Jack W. Wilson in The Journal of Portfolio Management, in which it was claimed that the historical distribution of stock returns was the lognormal distribution. The authors performed statistical tests-of-fit for lognormality on the S&P500 data. Specifically, the author tested the natural logarithm of the sample returns for normality The various tests utilized check normality using the Empirical Distribution Formula (EDF), Skewness, Kurtosis, and the standard Chi-Square test. The alpha level of these tests is set at five percent. The Kirtosis and Skewness tests are regarded as two-tailed tests. Statistical analysis is performed with the Statistical Analysis Software Package (SASTM).

Access Setting

Honors Thesis-Campus Only