LEADER 04730nam 2200709 a 450 001 9910824879903321 005 20200520144314.0 010 $a1-283-37184-7 010 $a9786613371843 010 $a1-4008-2909-7 024 7 $a10.1515/9781400829095 035 $a(CKB)2670000000133291 035 $a(EBL)819621 035 $a(OCoLC)769342463 035 $a(SSID)ssj0000639160 035 $a(PQKBManifestationID)11354427 035 $a(PQKBTitleCode)TC0000639160 035 $a(PQKBWorkID)10599128 035 $a(PQKB)11695803 035 $a(OCoLC)792704399 035 $a(MdBmJHUP)muse36737 035 $a(DE-B1597)447351 035 $a(OCoLC)979910723 035 $a(DE-B1597)9781400829095 035 $a(Au-PeEL)EBL819621 035 $a(CaPaEBR)ebr10522188 035 $a(CaONFJC)MIL337184 035 $a(PPN)265129524 035 $a(FR-PaCSA)88935192 035 $a(MiAaPQ)EBC819621 035 $a(EXLCZ)992670000000133291 100 $a19980914d1999 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 12$aA non-random walk down Wall Street /$fAndrew W. Lo, A. Craig MacKinlay 205 $aCore Textbook 210 $aPrinceton, N.J. $cPrinceton University Press$d1999 215 $a1 online resource (449 p.) 300 $aDescription based upon print version of record. 311 $a0-691-05774-5 311 $a0-691-09256-7 320 $aIncludes bibliographical references (p. 395-415) and index. 327 $t Frontmatter -- $tContents -- $tList of Figures -- $tList of Tables -- $tPreface -- $t1. Introduction -- $tPart I. -- $tIntroduction -- $t2. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test -- $t3. The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation -- $t4. An Econometric Analysis of Nonsynchronous Trading -- $t5. When Are Contrarian Profits Due to Stock Market Overreaction -- $t6. Long-Term Memory in Stock Market Prices -- $tPart II. -- $tIntroduction -- $t7. Multifactor Models Do Not Explain Deviations from the CAPM -- $t8. Data-Snooping Biases in Tests of Financial Asset Pricing Models -- $t9. Maximizing Predictability in the Stock and Bond Market -- $tPart III. -- $tIntroduction -- $t10. An Ordered Probit Analysis of Transaction Stock Prices -- $t11. Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices -- $t12. Order Imbalances and Stock Price Movements on October 19 and 20. 1987 -- $tReferences -- $tIndex 330 $aFor 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. The articles track the exciting course of Lo and MacKinlay's research on the predictability of stock prices from their early work on rejecting random walks in short-horizon returns to their analysis of long-term memory in stock market prices. A particular highlight is their now-famous inquiry into the pitfalls of "data-snooping biases" that have arisen from the widespread use of the same historical databases for discovering anomalies and developing seemingly profitable investment strategies. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management. 606 $aStocks$xPrices$xMathematical models 606 $aRandom walks (Mathematics) 615 0$aStocks$xPrices$xMathematical models. 615 0$aRandom walks (Mathematics) 676 $a332.63/222 686 $aQK 620$2rvk 700 $aLo$b Andrew W$g(Andrew Wen-Chuan)$0117381 701 $aMacKinlay$b Archie Craig$f1955-$0121362 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910824879903321 996 $aNon-random walk down Wall Street$964020 997 $aUNINA