VBA

The purpose of this project is to study the deviation from normality of rates of return. We work on a database containing the returns of 50 stocks.

The objective of this project is to test the normality hypothesis of the rates of return for both
for individual assets and for portfolios (of increasing size) of securities. The investigation
will be conducted on the basis of a statistic called studentized range.

The first part of the project is devoted to the construction of the table of critical values
of this statistic. The second part exploits this table in order to rule on the normal character of the
of the distribution of the rates of return of a set of stocks. This project is inspired by the book
of Eugene Fama, Foundations of Finance, and more particularly chapters 1 and 2, entitled
“The Behavior of Stock Market Returns” and “The Distribution of the Return of a Portfolio”.
The book is freely downloadable at the following address
http://faculty.chicagobooth.edu/eugene.fama/research/index.htm

Result: The rates of return do have a significant deviation from normality for both the individual
individual rates of return as well as the portfolios.