A Non-Random Walk Down Wall Street

Description

Cover; Title Page; Copyright Page; Table of Contents; List of Figures; List of Tables; Preface; 1 Introduction; 1.1 The Random Walk and Efficient Markets; 1.2 The Current State of Efficient Markets; 1.3 Practical Implications; Part I; 2. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test; 2.1 The Specification Test; 2.1.1 Homoskedastic Increments; 2.1.2 Heteroskedastic Increments; 2.2 The Random Walk Hypothesis for Weekly Returns; 2.2.1 Results for Market Indexes; 2.2.2 Results for SizeBased Portfolios; 2.2.3 Results for Individual Securities.;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 st.