If one was dealing with stock or portfolio returns over periods as long as a month, Fama concluded, the tails became slim enough that "the normal distribution is a good working approximation." The "costs of rejecting normality for securities returns in favor of [Levy] non-normal distributions are substantial," Fama wrote. Although "most of the models of the theory of finance" could be reconstructed on the basis of Levy distributions, the "exposition" of those models became more complicated and "statistical tools for handling data from [Levy] non-normal ... distributions are primitive relative to the tools that are available to handle data from normal distributions."

Donald MacKenzie, An Engine, Not a Camera, loc. 510