Leseprobe
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A Non-Random Walk Down Wall Street
A. Craig MacKinlay, Andrew W. Lo
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Sachbuch / Geld, Bank, Börse
Beschreibung
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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Probability, Empirical distribution function, Investor, Valuation (finance), Financial economics, Estimator, Covariance matrix, Market value, Variance, Order Imbalance, Statistical significance, Investment, Arbitrage, Futures exchange, Economic equilibrium, Statistic, Portfolio Weight, Dummy variable (statistics), Inference, Standard deviation, Null hypothesis, Standard error, Share price, Trading strategy, Autocorrelation, Ask price, Calculation, Logarithm, Sharpe ratio, Capital asset pricing model, Asymptotic distribution, Efficient-market hypothesis, Law of large numbers, Heteroscedasticity, Test statistic, Bias of an estimator, Statistical inference, Profit (economics), Asset, Stock market, Estimation, Monte Carlo method, Pricing, Stochastic process, S&P 500 Index, Economist, Percentage, Consistent estimator, Likelihood function, Independent and identically distributed random variables, Random walk hypothesis, Coefficient, Price, Summation, Transaction cost, Null distribution, Forecasting, Normal distribution, Arbitrage pricing theory, Center for Research in Security Prices, Market price, Order statistic, Predictability, Price Change, Autocovariance, Random variable, Correlation coefficient, Economics, Investment strategy, Time series