A Non-Random Walk Down Wall Street

Business & Finance, Finance & Investing, Investments & Securities
Cover of the book A Non-Random Walk Down Wall Street by Andrew W. Lo, A. Craig MacKinlay, Princeton University Press
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Andrew W. Lo, A. Craig MacKinlay ISBN: 9781400829095
Publisher: Princeton University Press Publication: November 14, 2011
Imprint: Princeton University Press Language: English
Author: Andrew W. Lo, A. Craig MacKinlay
ISBN: 9781400829095
Publisher: Princeton University Press
Publication: November 14, 2011
Imprint: Princeton University Press
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Princeton University Press

Cover of the book Photonic Crystals: Molding the Flow of Light (Second Edition) by Andrew W. Lo, A. Craig MacKinlay
Cover of the book Why Everyone (Else) Is a Hypocrite by Andrew W. Lo, A. Craig MacKinlay
Cover of the book Einstein and the Quantum by Andrew W. Lo, A. Craig MacKinlay
Cover of the book On British Islam by Andrew W. Lo, A. Craig MacKinlay
Cover of the book Partnership and Profit in Medieval Islam by Andrew W. Lo, A. Craig MacKinlay
Cover of the book Marx's Inferno by Andrew W. Lo, A. Craig MacKinlay
Cover of the book Heart Beats by Andrew W. Lo, A. Craig MacKinlay
Cover of the book The Soul of the World by Andrew W. Lo, A. Craig MacKinlay
Cover of the book A Survey of Computational Physics by Andrew W. Lo, A. Craig MacKinlay
Cover of the book The Nature of Nutrition by Andrew W. Lo, A. Craig MacKinlay
Cover of the book Oversight by Andrew W. Lo, A. Craig MacKinlay
Cover of the book Marxism and Form by Andrew W. Lo, A. Craig MacKinlay
Cover of the book Waging Peace by Andrew W. Lo, A. Craig MacKinlay
Cover of the book Germaine de Staël by Andrew W. Lo, A. Craig MacKinlay
Cover of the book Suburban Warriors by Andrew W. Lo, A. Craig MacKinlay
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy