Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)

by Andrew W. Lo , A. Craig MacKinlay
Venue:REVIEW OF FINANCIAL STUDIES
Citations:229 - 14 self

Documents Related by Co-Citation

1098 The econometrics of financial markets – - 1997
272 Permanent and temporary components of stock prices J Polit Econ 96 – - 1988
69 Drawing inferences from statistics based on multiyear asset returns – - 1989
154 Mean reversion in stock prices: Evidence and implications – - 1988
306 A subordinated stochastic process model with finite variance for speculative prices – - 1973
96 A geographical model for the daily and weekly seasonal volatility in the foreign exchange – - 1993
110 The price variability-volume relationship on speculative markets – - 1983
350 An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities – - 1979
270 Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk – - 2001
333 Asset Prices in an exchange economy – - 1978
702 Optimum Consumption and portfolio rules in a continuous-time model – - 1971
175 Stock return variances: The arrival of information and the reaction of traders – - 1986
94 Asset returns and intertemporal preferences – - 1991
725 Returns to buying winners and selling losers: implications for stock market efficiency – - 1993
436 The arbitrage theory of capital asset pricing – - 1976
1055 Generalized Autoregressive Conditional Heteroskedasticity – - 1986
256 Positive Feedback Investment Strategies and Destabilizing Rational Speculation – - 1990
595 An intertemporal capital asset pricing model – - 1973
169 On the efficiency of competitive stock markets where traders have diverse information – - 1976