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A Non-Random Walk Down Wall Street

A Non-Random Walk Down Wall Street
by Andrew W. Lo, A. Craig MacKinlay

Publisher: Princeton University Press 2001
ISBN/ASIN: 0691092567
ISBN-13: 9780691092560
Number of pages: 448

For a half century, financial experts have regarded the movements of markets as a random walk, 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, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. The 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.

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