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A Non-Random Walk Down Wall Street
Andrew W. Lo & A. Craig MacKinlay

Book Description | Table of Contents
Introduction

ENDORSEMENTS:

"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

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File created: 4/17/2014

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