Question

Empirically speaking, are stock returns normally distributed? If not, why?

Answer 1

Yes it is empirically said that stock returns are not normally distributed because it depends on the time scale on which returns are measured, generally stock return are calculated on a single day to few days on which stock prices are subject to great price changes and which leads to fatter tails and higher peaks than the normal return. various statistical evidences show a high degree of Kurtosis and some asymmetry in the form of Skewness in case of stock returns calculated intraday or for few days