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

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:	150 - 8 self

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Datum	Value	Source
TITLE	Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test	user correction
AUTHOR NAME	Andrew W. Lo	user correction
AUTHOR AFFIL	University of Pennsylvania	user correction
AUTHOR NAME	A. Craig MacKinlay	user correction
AUTHOR AFFIL	University of Pennsylvania	user correction
ABSTRACT	In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (1962--1985) and for all subperiod for a variety of aggregate returns indexes and size-sorted portofolios. Although the rejections are due largely to the behavior of small stocks, they cannot be attributed completely to the effects of infrequent trading or timevarying volatilities. Moreover, the rejection of the random walk for weekly returns does not support a mean-reverting model of asset prices.	user correction
YEAR	1988	INFERENCE
VENUE	REVIEW OF FINANCIAL STUDIES	user correction
VENUE TYPE	JOURNAL	INFERENCE
PAGES	41--66	INFERENCE
VOLUME	1	INFERENCE
NUMBER	1	user correction
CITATIONS	35 found	ParsCit 1.0