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.

Non-Random Walk Down Wall Street

Andrew W. Lo

Bt Bound

The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory.
 Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.

The Econometrics of Financial Markets

Business & Money

John Y. Campbell

A. Craig MacKinlay

Lo, Andrew Y.

Economics

Princeton University Press

In Pursuit of the Perfect Portfolio

Stephen R Foerster

Princeton

Financial Economics Vol 1

Robert C. Merton

paul-a-samuelson

PASTOR

Randall Morck Lubos

Marcel Rindisbacher

Michael R. Roberte

Amir Suf

Gazelle Distribution Gxc

Investment portfolios are exposed to numerous risks, some of which can be measured and quantified and some of which must be prepared to address these risks if they are to achieve optimal investment performance. This proceedings guides the reader through the issues associated with the design, implementation, and interpretation of risk management practices for the asset management industry. Proceedings of the AIMR seminar "Risk Management"

Risk Management: Principles and Practices

Bluford H. Putnam

Richard M. Bookstaber

Robert M. McLaughlin

Desmond Mac Intyre

Charles W. Smithson

Jacques Longerstaey

Michelle McCarthy

Brian D. Singer

Stephen Kealhofer

Insurance

AIMR (CFA Institute)

Fixed-income management has evolved out of a relatively tame past of laddered portfolios into one of today's most dynamic areas of investing. Shifts in the borrowing needs of corporations and governments, the creation of new fixed-income products, and generally lower global interest rates have kept managers on their toes in terms of asset allocation, credit analysis, and benchmark composition issues. Recent market crises have led to an increased emphasis on risk management as managers and investors explore various ways to add value to fixed-income portfolios outside the traditional fixed-income sectors. In this proceedings, leading practitioners and academics not only offer insights about the big picture; they also focus on crafting effective solutions to practitioner-oriented problems by frequently describing in considerable detail the approaches used by their own firms.

Fixed-Income Management for the 21st Century

Martin S. Fridson

Christopher L. Gootkind

Yong Zhu

Kevin Maloney

Laurence R. Smith

Eugene Flood

Asha B. Joshi

Peter J. Knez

John M. Liew, Michael R. Asay, Dwight D. Churchill

Several recent empirical studies have argued that the standard methods of assessing hedge fund risks and rewards may be misleading. This monograph reviews the empirical facts surrounding hedge fund investments and proposes several new quantitative models for modeling hedge fund return, risk exposures, and associsted performance statistics.

The Dynamics of the Hedge Fund Industry

Research Foundation of CFA Institute

The Efficient Markets Hypothesis is one of the most controversial and hotly contested ideas in all the social sciences. It is disarmingly simple to state, has far-reaching consequences for academic pursuits and business practice, and yet is surprisingly resilient to empirical proof of refutation. Even after three decades of research and literally thousands of journal articles, economists have not yet reached a consensus about whether markets - particularly financial markets - are efficient or not. These two volumes bring together the most influential articles surrounding the Efficient Markets Hypothesis debate, from Paul Samuelson's pathbreaking proof that properly anticipated prices fluctuate randomly to Fischer Black's study of noise traders, from Eugene Fama's empirical implementation of the Efficient Markets Hypothesis to Robert Merton's analysis of stock price volatility.

Market Efficiency: Stock Market Behaviour in Theory and Practice (The International Library of Critical Writings in Financial Economics series, 3)

Edward Elgar Publishing

The full range of profitable investment opportunities is clear only to those who understand the impact of nonlinear dynamic processes. This proceedings provides examples of the opportunities--and the problems--investors are likely to encounter in using either traditional techniques of equity analysis or quantitative approaches.

Blending Quantitative and Traditional Equity Analysis

H. Russell Fogler

David J. Leinweber

James W. Hall

Stephen A. Ross

Claudia E. Mott

Dean S. Barr

Douglas W. Case

Philip B. Erlanger

Christopher M. Murphy, Gary Koehler

Ralph P. Goldsticker III

Murali Ramaswami

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Books by Andrew W. Lo