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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
Author
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 sta
Cataloging source
EBLCP
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
A non-random walk down Wall Street, Andrew W. Lo, A. Craig MacKinlay
Label
A non-random walk down Wall Street, Andrew W. Lo, A. Craig MacKinlay
Link
http://www.jstor.org/stable/10.2307/j.ctt7tccx
Publication
Copyright
Note
Appendix A6: Proof of Theorems
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Bibliography note
Includes bibliographical references (pages 395-415) and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • Cover; Title Page; Copyright Page; Table of Contents; List of Figures; List of Tables; Preface; 1 Introduction; 1.1 The Random Walk and Efficient Markets; 1.2 The Current State of Efficient Markets; 1.3 Practical Implications; Part I; 2. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test; 2.1 The Specification Test; 2.1.1 Homoskedastic Increments; 2.1.2 Heteroskedastic Increments; 2.2 The Random Walk Hypothesis for Weekly Returns; 2.2.1 Results for Market Indexes; 2.2.2 Results for SizeBased Portfolios; 2.2.3 Results for Individual Securities
  • 2.3 Spurious Autocorrelation Induced by Nontrading2.4 The Mean-Reverting Alternative to the Random Walk; 2.5 Conclusion; Appendix A2: Proof of Theorems; 3. The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation; 3.1 Introduction; 3.2 The Variance Ratio Test; 3.2.1 The IID Gaussian Null Hypothesis; 3.2.2 The Heteroskedastic Null Hypothesis; 3.2.3 Variance Ratios and Autocorrelations; 3.3 Properties of the Test Statistic under the Null Hypotheses; 3.3.1 The Gaussian IID Null Hypothesis; 3.3.2 A Heteroskedastic Null Hypothesis; 3.4 Power
  • 3.4.1 The Variance Ratio Test for Large q3.4.2 Power against a Stationary AR(1) Alternative; 3.4.3 Two Unit Root Alternatives to the Random Walk; 3.5 Conclusion; 4. An Econometric Analysis of Nonsynchronous Trading; 4.1 Introduction; 4.2 A Model of Nonsynchronous Trading; 4.2.1 Implications for Individual Returns; 4.2.2 Implications for Portfolio Returns; 4.3 Time Aggregation; 4.4 An Empirical Analysis of Nontradin; 4.4.1 Daily Nontrading Probabilities Implicit in Autocorrelations; 4.4.2 Nontrading and Index Autocorrelations; 4.5 Extensions and Generalizations
  • Appendix A4: Proof of Propositions5. When Are Contrarian Profits Due to Stock Market Overreaction?; 5.1 Introduction; 5.2 A Summary of Recent Findings; 5.3 Analysis of Contrarian Profitability; 5.3.1 The Independently and Identically Distributed Benchmark; 5.3.2 Stock Market Overreaction and Fads; 5.3.3 Trading on White Noise and Lead-Lag Relations; 5.3.4 Lead-Lag Effects and Nonsynchronous Trading; 5.3.5 A Positively Dependent Common Factor and the Bid-Askspread; 5.4 An Empirical Appraisal of Overreaction; 5.5 Long Horizons Versus Short Horizons; 5.6 Conclusion; Appendix A5
  • 6. Long-Term Memory in Stock Market Prices6.1 Introduction; 6.2 Long-Rangeversus Short-Range Dependence; 6.2.1 The Null Hypothesis; 6.2.2 Long-Range Dependent Alternatives; 6.3 The Rescaled Range Statistic; 6.3.1 The Modified R/S Statistic; 6.3.2 The Asymptotic Distribution of Qn; 6.3.3 The Relation Between Qn and Qn; 6.3.4 The Behavior of Qn, Under Long Memory Alternatives; 6.4 R/S Analysis for Stock Market Returns; 6.4.1 The Evidence for Weekly and Monthly Returns; 6.5 Size and Power; 6.5.1 The Size of the R/S Test; 6.5.2 Power Against Fractionally-Differenced Alternatives; 6.6 Conclusion
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https://contentcafe2.btol.com/ContentCafe/Jacket.aspx?Return=1&Type=S&Value=9781400829095&userID=ebsco-test&password=ebsco-test
Dimensions
unknown
http://library.link/vocab/discovery_link
{'f': 'http://opac.lib.rpi.edu/record=b4327582'}
Extent
1 online resource (xxiii, 424 pages)
Form of item
online
Isbn
9781400829095
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
illustrations
Specific material designation
remote

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