A Non-Random Walk Down Wall Street

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9780691092560: A Non-Random Walk Down Wall Street

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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

From the Back Cover:

"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

About the Author:

Andrew W. Lo is the Harris & Harris Group Professor of Finance at the Sloan School of Management, Massachusetts Institute of Technology. A. Craig MacKinlay is Joseph P. Wargrove Professor of Finance at the Wharton School, University of Pennsylvania. With John Y. Campbell, they are the authors of The Econometrics of Financial Markets (Princeton), which received the Paul A. Samuelson Award in 1997.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

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Andrew W. Lo
Editore: Princeton University Press (2002)
ISBN 10: 0691092567 ISBN 13: 9780691092560
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Descrizione libro Princeton University Press, 2002. PAP. Condizione libro: New. New Book.Shipped from US within 10 to 14 business days.THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Codice libro della libreria IP-9780691092560

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Lo, Andrew W.; MacKinlay, A. Craig
Editore: Princeton University Press (2001)
ISBN 10: 0691092567 ISBN 13: 9780691092560
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Descrizione libro Princeton University Press, 2001. Condizione libro: New. 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. This work puts the Random Walk Hypothesis to the test. Num Pages: 448 pages, 64 tables 2 line illus. BIC Classification: KFFM2. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 234 x 155 x 30. Weight in Grams: 624. . 2001. Paperback. . . . . . Codice libro della libreria V9780691092560

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Andrew W. Lo, A. Craig MacKinlay
Editore: Princeton University Press
ISBN 10: 0691092567 ISBN 13: 9780691092560
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Descrizione libro Princeton University Press. Paperback. Condizione libro: new. BRAND NEW, A Non-Random Walk Down Wall Street, Andrew W. Lo, A. Craig MacKinlay, 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. Codice libro della libreria B9780691092560

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Editore: Princeton University Press (2002)
ISBN 10: 0691092567 ISBN 13: 9780691092560
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Descrizione libro Princeton University Press, 2002. PAP. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria WP-9780691092560

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Andrew W. Lo, A. Craig MacKinlay
Editore: Princeton University Press, United States (2002)
ISBN 10: 0691092567 ISBN 13: 9780691092560
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Descrizione libro Princeton University Press, United States, 2002. Paperback. Condizione libro: New. Language: English . Brand New Book. 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. Codice libro della libreria AAU9780691092560

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Andrew W. Lo, A. Craig MacKinlay
Editore: Princeton University Press, United States (2002)
ISBN 10: 0691092567 ISBN 13: 9780691092560
Nuovi Paperback Quantità: 1
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The Book Depository US
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Descrizione libro Princeton University Press, United States, 2002. Paperback. Condizione libro: New. Language: English . Brand New Book. 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. Codice libro della libreria AAU9780691092560

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Lo, Andrew W.; MacKinlay, A. Craig
Editore: Princeton University Press
ISBN 10: 0691092567 ISBN 13: 9780691092560
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Descrizione libro Princeton University Press. Condizione libro: New. 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. This work puts the Random Walk Hypothesis to the test. Num Pages: 448 pages, 64 tables 2 line illus. BIC Classification: KFFM2. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 234 x 155 x 30. Weight in Grams: 624. . 2001. Paperback. . . . . Books ship from the US and Ireland. Codice libro della libreria V9780691092560

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Andrew W. Lo, A. Craig Mackinlay
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ISBN 10: 0691092567 ISBN 13: 9780691092560
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Descrizione libro Princeton University Press 2002-02-26, Princeton, N.J. |Oxford, 2002. paperback. Condizione libro: New. Codice libro della libreria 9780691092560

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Descrizione libro Condizione libro: New. Depending on your location, this item may ship from the US or UK. Codice libro della libreria 97806910925600000000

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Descrizione libro Princeton University Press, 2002. PAP. Condizione libro: New. New Book. Delivered from our US warehouse in 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND.Established seller since 2000. Codice libro della libreria IP-9780691092560

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