The Resource A nonrandom walk down Wall Street, Andrew W. Lo, A. Craig MacKinlay
A nonrandom walk down Wall Street, Andrew W. Lo, A. Craig MacKinlay
Resource Information
The item A nonrandom walk down Wall Street, Andrew W. Lo, A. Craig MacKinlay represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Missouri University of Science & Technology Library.This item is available to borrow from 1 library branch.
Resource Information
The item A nonrandom walk down Wall Street, Andrew W. Lo, A. Craig MacKinlay represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Missouri University of Science & Technology Library.
This item is available to borrow from 1 library branch.
 Summary
 For over half a century, financial experts have regarded the movements of markets as a random walkunpredictable meanderings akin to a drunkard's unsteady gaitand 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
 Language
 eng
 Extent
 1 online resource (xxiii, 424 pages)
 Note
 Appendix A6: Proof of Theorems
 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 MeanReverting 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 LeadLag Relations; 5.3.4 LeadLag Effects and Nonsynchronous Trading; 5.3.5 A Positively Dependent Common Factor and the BidAskspread; 5.4 An Empirical Appraisal of Overreaction; 5.5 Long Horizons Versus Short Horizons; 5.6 Conclusion; Appendix A5
 6. LongTerm Memory in Stock Market Prices6.1 Introduction; 6.2 LongRangeversus ShortRange Dependence; 6.2.1 The Null Hypothesis; 6.2.2 LongRange 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 FractionallyDifferenced Alternatives; 6.6 Conclusion
 Isbn
 9781400829095
 Label
 A nonrandom walk down Wall Street
 Title
 A nonrandom walk down Wall Street
 Statement of responsibility
 Andrew W. Lo, A. Craig MacKinlay
 Subject

 Electronic books
 Electronic books
 Investments  Mathematics
 Investments  Mathematics
 Random walks (Mathematics)
 Stocks  Prices  Mathematical models
 Stocks  Prices  Mathematical models
 Random walks (Mathematics)
 BUSINESS & ECONOMICS  Investments & Securities  General
 BUSINESS & ECONOMICS  Investments & Securities  Stocks
 Language
 eng
 Summary
 For over half a century, financial experts have regarded the movements of markets as a random walkunpredictable meanderings akin to a drunkard's unsteady gaitand 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
 http://library.link/vocab/creatorName
 Lo, Andrew W.
 Dewey number
 332.6322
 Illustrations
 illustrations
 Index
 index present
 LC call number
 HG4915 .L6
 Literary form
 non fiction
 Nature of contents

 dictionaries
 bibliography
 http://library.link/vocab/relatedWorkOrContributorDate
 1955
 http://library.link/vocab/relatedWorkOrContributorName
 MacKinlay, Archie Craig
 http://library.link/vocab/subjectName

 Investments
 Stocks
 Random walks (Mathematics)
 BUSINESS & ECONOMICS
 BUSINESS & ECONOMICS
 Investments
 Random walks (Mathematics)
 Stocks
 Label
 A nonrandom walk down Wall Street, Andrew W. Lo, A. Craig MacKinlay
 Note
 Appendix A6: Proof of Theorems
 Bibliography note
 Includes bibliographical references (pages 395415) 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 MeanReverting 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 LeadLag Relations; 5.3.4 LeadLag Effects and Nonsynchronous Trading; 5.3.5 A Positively Dependent Common Factor and the BidAskspread; 5.4 An Empirical Appraisal of Overreaction; 5.5 Long Horizons Versus Short Horizons; 5.6 Conclusion; Appendix A5
 6. LongTerm Memory in Stock Market Prices6.1 Introduction; 6.2 LongRangeversus ShortRange Dependence; 6.2.1 The Null Hypothesis; 6.2.2 LongRange 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 FractionallyDifferenced Alternatives; 6.6 Conclusion
 Control code
 769342463
 Dimensions
 unknown
 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
 http://library.link/vocab/ext/overdrive/overdriveId

 22573/cttsd0d
 f33525a12a9d4f01837de050e3594334
 Specific material designation
 remote
 System control number
 (OCoLC)769342463
 Label
 A nonrandom walk down Wall Street, Andrew W. Lo, A. Craig MacKinlay
 Note
 Appendix A6: Proof of Theorems
 Bibliography note
 Includes bibliographical references (pages 395415) 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 MeanReverting 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 LeadLag Relations; 5.3.4 LeadLag Effects and Nonsynchronous Trading; 5.3.5 A Positively Dependent Common Factor and the BidAskspread; 5.4 An Empirical Appraisal of Overreaction; 5.5 Long Horizons Versus Short Horizons; 5.6 Conclusion; Appendix A5
 6. LongTerm Memory in Stock Market Prices6.1 Introduction; 6.2 LongRangeversus ShortRange Dependence; 6.2.1 The Null Hypothesis; 6.2.2 LongRange 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 FractionallyDifferenced Alternatives; 6.6 Conclusion
 Control code
 769342463
 Dimensions
 unknown
 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
 http://library.link/vocab/ext/overdrive/overdriveId

 22573/cttsd0d
 f33525a12a9d4f01837de050e3594334
 Specific material designation
 remote
 System control number
 (OCoLC)769342463
Subject
 Electronic books
 Electronic books
 Investments  Mathematics
 Investments  Mathematics
 Random walks (Mathematics)
 Stocks  Prices  Mathematical models
 Stocks  Prices  Mathematical models
 Random walks (Mathematics)
 BUSINESS & ECONOMICS  Investments & Securities  General
 BUSINESS & ECONOMICS  Investments & Securities  Stocks
Genre
Member of
Library Links
Embed
Settings
Select options that apply then copy and paste the RDF/HTML data fragment to include in your application
Embed this data in a secure (HTTPS) page:
Layout options:
Include data citation:
<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.library.mst.edu/portal/AnonrandomwalkdownWallStreetAndrewW.Lo/hoanwiKEFqI/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.mst.edu/portal/AnonrandomwalkdownWallStreetAndrewW.Lo/hoanwiKEFqI/">A nonrandom walk down Wall Street, Andrew W. Lo, A. Craig MacKinlay</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.mst.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.mst.edu/">Missouri University of Science & Technology Library</a></span></span></span></span></div>
Note: Adjust the width and height settings defined in the RDF/HTML code fragment to best match your requirements
Preview
Cite Data  Experimental
Data Citation of the Item A nonrandom walk down Wall Street, Andrew W. Lo, A. Craig MacKinlay
Copy and paste the following RDF/HTML data fragment to cite this resource
<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.library.mst.edu/portal/AnonrandomwalkdownWallStreetAndrewW.Lo/hoanwiKEFqI/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.mst.edu/portal/AnonrandomwalkdownWallStreetAndrewW.Lo/hoanwiKEFqI/">A nonrandom walk down Wall Street, Andrew W. Lo, A. Craig MacKinlay</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.mst.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.mst.edu/">Missouri University of Science & Technology Library</a></span></span></span></span></div>