A non-random walk down Wall Street / Andrew W. Lo, A. Craig MacKinlay.
1999
HG4915 .L6 1999 (Map It)
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Details
Title
A non-random walk down Wall Street / Andrew W. Lo, A. Craig MacKinlay.
Published
Princeton, N.J. : Princeton University Press, [1999]
Copyright
©1999
Call Number
HG4915 .L6 1999
ISBN
0691057745 (alk. paper)
Description
xxiii, 424 pages : illustrations ; 25 cm
System Control No.
(OCoLC)39914227
Bibliography, etc. Note
Includes bibliographical references (pages 395-415) and index.
Record Appears in
Added Author
Table of Contents
List of Figures
List of Tables
Preface
1
Introduction
3
2
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
17
3
The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation
47
4
An Econometric Analysis of Nonsynchronous Trading
85
5
When Are Contrarian Profits Due to Stock Market Overreaction?
115
6
Long-Term Memory in Stock Market Prices
147
7
Multifactor Models Do Not Explain Deviations from the CAPM
189
8
Data-Snooping Biases in Tests of Financial Asset Pricing Models
213
9
Maximizing Predictability in the Stock and Bond Markets
249
10
An Ordered Probit Analysis of Transaction Stock Prices
287
11
Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices
347
12
Order Imbalances and Stock Price Movements on October 19 and 20, 1987
369
References
395
Index
417