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A Non-Random Walk Down Wall Street By: Andrew Lo, Craig Mackinlay Normal price: 22.95 Our price: 21.8 + postage Bargain: save £1.15 ! Product code: 14276 ISBN: 0691092567 448 pages Format: Pb Published by: Princeton University Press, 2002, 1st edition There are no reviews available for this book

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. 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.

A Non-Random Walk Down Wall Street - Chapter headings

1. 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 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 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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