A Non-Random Walk Down Wall Street /

A Non-Random Walk Down Wall Street / / A. Craig MacKinlay, Andrew W. Lo.

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For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. C...

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Bibliographic Details
Superior document:Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Archive 1927-1999
VerfasserIn:
Lo, Andrew W.,
MacKinlay, A. Craig,
Place / Publishing House:Princeton, NJ : : Princeton University Press, , [2011]
©1999
Year of Publication:2011
Edition:Core Textbook
Language:English
Online Access:
Physical Description:1 online resource (448 p.) :; 64 tables 2 line illus.
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Table of Contents:
  • Frontmatter
  • Contents
  • List of Figures
  • List of Tables
  • Preface
  • 1. Introduction
  • Part I.
  • Introduction
  • 2. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
  • 3. The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation
  • 4. An Econometric Analysis of Nonsynchronous Trading
  • 5. When Are Contrarian Profits Due to Stock Market Overreaction
  • 6. Long-Term Memory in Stock Market Prices
  • Part II.
  • Introduction
  • 7. Multifactor Models Do Not Explain Deviations from the CAPM
  • 8. Data-Snooping Biases in Tests of Financial Asset Pricing Models
  • 9. Maximizing Predictability in the Stock and Bond Market
  • Part III.
  • Introduction
  • 10. An Ordered Probit Analysis of Transaction Stock Prices
  • 11. Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices
  • 12. Order Imbalances and Stock Price Movements on October 19 and 20. 1987
  • References
  • Index

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