1 option
Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test / Andrew W. Lo, A. Craig MacKinlay.
- Format:
- Book
- Author/Creator:
- Lo, Andrew W.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w2168.
- NBER working paper series no. w2168
- Language:
- English
- Subjects (All):
- Random walks (Mathematics).
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Stock Market Prices Do Not Follow Random Walks
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1987.
- Cambridge, Mass. : National Bureau of Economic Research, 1987.
- Summary:
- In this paper, we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (1962-1985) and for all sub-periods for a variety of aggregate returns indexes and size-sorted portfolios. Although the rejections are largely due to the behavior of small stocks, they cannot be ascribed to either the effects of infrequent trading or time-varying volatilities. Moreover, the rejection of the random walk cannot be interpreted as supporting a mean-reverting stationary model of asset prices, but is more consistent with a specific nonstationary alternative hypothesis.
- Notes:
- Print version record
- February 1987.
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.