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.
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Product details
ISBN
9781400829095
Published
2013
Publisher
Princeton University Press
Language
Product language
Engelsk
Format
Product format
Digital bok
Number of pages
448