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Description of A Non-Random Walk Down Wall Street

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. In this text, the authors argue that markets are not completely random after all and that predictable components do exist. They provide an account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offer a glimpse into the financial technologies of the future.

Title Information

ISBN:

9780691057743

Pages:

448 pages

Format:

Hardback

Product Code:

10552

Publisher:

Princeton University Press

Published:

09/03/1999

Edition:

illustrated edition

Press and Industry Reviews

'This book collects together and integrates an important body of research by two distinguished financial economists. The essays in the book explore the limits of the random walk model of security prices using insightful and rigorous statistical methods. The empirical findings are interpreted using modern theories of asset prices, and the resulting anomalies are used to challenge the theories in constructive ways. This book is highly recommended to academic and private-sector economists who are interested in understanding better the behavior of financial market returns.'
Lars Peter Hansen, University of Chicago

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About Andrew Lo and Craig Mackinlay

Andrew W. Lo is the Harris & Harris Group Professor of Finance at the Sloan School of Management, Massachusetts Institute of Technology. A. Craig MacKinlay is Joseph P.Wargrove Professor of Finance at the Wharton School, University of Pennsylvania. With John Y. Campbell, they are the authors of The Econometrics of Financial Markets (Princeton), which received the Paul A. Samuelson Award in 1997.

Contents of A Non-Random Walk Down Wall Street

List of Figures
List of Tables
Preface

1. Introduction

Part I
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
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 Markets

Part III
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