Coverart for item
The Resource A non-random walk down Wall Street, Andrew W. Lo, A. Craig MacKinlay

A non-random walk down Wall Street, Andrew W. Lo, A. Craig MacKinlay

Label
A non-random walk down Wall Street
Title
A non-random walk down Wall Street
Statement of responsibility
Andrew W. Lo, A. Craig MacKinlay
Creator
Contributor
Subject
Language
eng
Summary
"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. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future."--BOOK JACKET
Cataloging source
BDS
http://library.link/vocab/creatorName
Lo, Andrew W.
Index
no index present
LC call number
HG4915
LC item number
.L6 1999
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorDate
1955-
http://library.link/vocab/relatedWorkOrContributorName
MacKinlay, Archie Craig
http://library.link/vocab/subjectName
Investments
Label
A non-random walk down Wall Street, Andrew W. Lo, A. Craig MacKinlay
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • List of Figures
  • List of Tables
  • Preface
  • 1.
  • Introduction.
  • p. 3
  • 2.
  • Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test.
  • p. 17
  • 3.
  • Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation.
  • p. 47
  • 4.
  • Econometric Analysis of Nonsynchronous Trading.
  • p. 85
  • 5.
  • When Are Contrarian Profits Due to Stock Market Overreaction?.
  • p. 115
  • 6.
  • Long-Term Memory in Stock Market Prices.
  • p. 147
  • 7.
  • Multifactor Models Do Not Explain Deviations from the CAPM.
  • p. 189
  • 8.
  • Data-Snooping Biases in Tests of Financial Asset Pricing Models.
  • p. 213
  • 9.
  • Maximizing Predictability in the Stock and Bond Markets.
  • p. 249
  • 10.
  • Ordered Probit Analysis of Transaction Stock Prices.
  • p. 287
  • 11.
  • Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices.
  • p. 347
  • 12.
  • Order Imbalances and Stock Price Movements on October 19 and 20, 1987.
  • p. 369
  • References.
  • p. 395
  • Index.
  • p. 417
Control code
990691092567
Isbn
9780691092560
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Label
A non-random walk down Wall Street, Andrew W. Lo, A. Craig MacKinlay
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • List of Figures
  • List of Tables
  • Preface
  • 1.
  • Introduction.
  • p. 3
  • 2.
  • Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test.
  • p. 17
  • 3.
  • Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation.
  • p. 47
  • 4.
  • Econometric Analysis of Nonsynchronous Trading.
  • p. 85
  • 5.
  • When Are Contrarian Profits Due to Stock Market Overreaction?.
  • p. 115
  • 6.
  • Long-Term Memory in Stock Market Prices.
  • p. 147
  • 7.
  • Multifactor Models Do Not Explain Deviations from the CAPM.
  • p. 189
  • 8.
  • Data-Snooping Biases in Tests of Financial Asset Pricing Models.
  • p. 213
  • 9.
  • Maximizing Predictability in the Stock and Bond Markets.
  • p. 249
  • 10.
  • Ordered Probit Analysis of Transaction Stock Prices.
  • p. 287
  • 11.
  • Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices.
  • p. 347
  • 12.
  • Order Imbalances and Stock Price Movements on October 19 and 20, 1987.
  • p. 369
  • References.
  • p. 395
  • Index.
  • p. 417
Control code
990691092567
Isbn
9780691092560
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n

Library Locations

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      Chatham Street, Liverpool, L7 7BD, GB
      53.403069 -2.963723
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