A Non-Random Walk Down Wall Street Paperback - 2002
by Andrew W. Lo; A. Craig Mackinlay
For 50 years, financial experts have regarded the movements of markets as a random walk, and this hypothesis has become a cornerstone of modern financial economics. Lo and MacKinlay put the random walk hypothesis to the test in this volume, which elegantly integrates their most important articles.
From the rear cover
"This provocative collection of essays provides careful empirical analyses of the major anomalies that have appeared in financial markets in the thirty-five years since Paul Cootner's influential Random Character of Stock Market Prices. It provides convincing evidence against the random walk as applied to stock markets, and at the same time warns us of the dangers of finding spurious anomalies. It is a worthy successor to Cootner's classic."--Michael Brennan, University of California, Los Angeles
"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
"The common feature of this work . . . is that it is guided by simple economic intuitions while simultaneously being econometrically rigorous and careful."--Bruce N. Lehmann, UC-San Diego
Details
- Title A Non-Random Walk Down Wall Street
- Author Andrew W. Lo; A. Craig Mackinlay
- Binding Paperback
- Edition First Paperback
- Pages 448
- Volumes 1
- Language ENG
- Publisher Princeton University Press, Princeton, New Jersey
- Date 2002-01-15
- ISBN 9780691092560 / 0691092567
- Weight 1.42 lbs (0.64 kg)
- Dimensions 9.36 x 6.1 x 1.1 in (23.77 x 15.49 x 2.79 cm)
- Library of Congress subjects Wall Street (New York, N.Y.), Random walks (Mathematics)
- Library of Congress Catalog Number 98031390
- Dewey Decimal Code 332.632
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