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Record Nr. |
UNINA9910824879903321 |
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Autore |
Lo Andrew W (Andrew Wen-Chuan) |
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Titolo |
A non-random walk down Wall Street / / Andrew W. Lo, A. Craig MacKinlay |
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Pubbl/distr/stampa |
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Princeton, N.J., : Princeton University Press, 1999 |
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ISBN |
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1-283-37184-7 |
9786613371843 |
1-4008-2909-7 |
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Edizione |
[Core Textbook] |
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Descrizione fisica |
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1 online resource (449 p.) |
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Classificazione |
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Altri autori (Persone) |
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MacKinlayArchie Craig <1955-> |
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Disciplina |
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Soggetti |
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Stocks - Prices - Mathematical models |
Random walks (Mathematics) |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references (p. 395-415) and index. |
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Nota di contenuto |
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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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Sommario/riassunto |
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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. Craig MacKinlay put the Random |
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