A non-random walk down Wall Street by A. Craig MacKinlay, Andrew W. Lo

A non-random walk down Wall Street



Download A non-random walk down Wall Street




A non-random walk down Wall Street A. Craig MacKinlay, Andrew W. Lo
Language: English
Page: 436
Format: djvu
ISBN: 0691057745, 9780691057743
Publisher: PUP

Review

"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"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"With all its equations, this book is going to turn out to be a classic text in the theory of finance. But it is also one for practitioners." -- Diane Coyle, The Independent- LondonWhere are today's exploitable anomalies? Lo and MacKinlay argue that fast computers, chewing on newly available, tick-by-tick feeds of market-transaction data, can detect regularities in stock prices that would have been invisible as recently as five years ago. One example: 'clientele bias,' in which certain stocks are popular with investors who have certain trading styles. A case in point that doesn't take a supercomputer to detect, is day traders' current enthusiasm for Internet stocks. Lo says that day traders tend to overreact to news--whether that news is positive or negative--so it should be possible to profit by taking the opposite side of their trades. -- Review

Review

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 )

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