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A Non-Random Walk Down Wall Street

A Non-Random Walk Down Wall Street Paperback / softback - 2002

by Andrew W. Lo

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  • Paperback

For 50 years, financial experts have regarded the movements of markets as a random walk, and this hypothesis has become a cornerstone of modern financial economics. Lo and MacKinlay put the random walk hypothesis to the test in this volume, which elegantly integrates their most important articles.

Description

Paperback / softback. 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.
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Details

  • Title A Non-Random Walk Down Wall Street
  • Author Andrew W. Lo
  • Binding Paperback / softback
  • Edition First Paperback
  • Condition New
  • Pages 448
  • Volumes 1
  • Language ENG
  • Publisher Princeton University Press, Princeton, New Jersey
  • Date 2002-01-15
  • Features Index, Table of Contents
  • Bookseller's Inventory # B9780691092560
  • ISBN 9780691092560 / 0691092567
  • Weight 1.42 lbs (0.64 kg)
  • Dimensions 9.36 x 6.1 x 1.1 in (23.77 x 15.49 x 2.79 cm)
  • Library of Congress subjects Wall Street (New York, N.Y.), Random walks (Mathematics)
  • Library of Congress Catalog Number 98031390
  • Dewey Decimal Code 332.632

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From the rear 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.