Testing Stock Return Distribution in the Tehran Stock Exchange

In the past several years many financial theories such as portfolio optimization model، model prices of capital assets (CAPM)، arbitrage pricing، and the like، are based on normal return distribution. Yet recent research has rejected the assumption that if the distribution of returns is different from the normal distribution، so variables and methods that they use in these models are challenged. Then it is important that the exact types of distributions are specified. In this research we conduct a test on stock return distribution of 22 firms using R/S method as well as the Anderson–Darling criteria. It covers the period of 2001-2013. The test results show that the return distributions of nine firms are stable.