A non-random walk down Wall Street

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

資料種別:

図書

出版情報:

Princeton, N.J. : Princeton University Press, c1999

形態:

xxiii, 424 p. ; 24 cm

著者名:

ISBN:

9780691057743 [0691057745]

書誌ID:

BA40627954

子書誌情報

フルテキスト

所蔵情報

他の版・巻

書誌詳細

注記:

Bibliography: p. 395-415
Includes index

主題:

Random walks (Mathematics); Stocks--Prices--Mathematical models

言語:

英語

目次情報:

List of Figures

List of Tables

Preface

Introduction / 1：

The Random Walk and Efficient Markets / 1.1：

The Current State of Efficient Markets / 1.2：

Practical Implications / 1.3：

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test / Part I：

The Specification Test / 2.1：

Homoskedastic Increments / 2.1.1：

Heteroskedastic Increments / 2.1.2：

The Random Walk Hypothesis for Weekly Returns / 2.2：

Results for Market Indexes / 2.2.1：

Results for Size-Based Portfolios / 2.2.2：

Results for Individual Securities / 2.2.3：

Spurious Autocorrelation Induced by Nontrading / 2.3：

The Mean-Reverting Alternative to the Random Walk / 2.4：

Conclusion / 2.5：

Proof of Theorems / Appendix A2：

The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation / 3：

The Variance Ratio Test / 3.1：

The IID Gaussian Null Hypothesis / 3.2.1：

The Heteroskedastic Null Hypothesis / 3.2.2：

Variance Ratios and Autocorrelations / 3.2.3：

Properties of the Test Statistic under the Null Hypotheses / 3.3：

The Gaussian IID Null Hypothesis / 3.3.1：

A Heteroskedastic Null Hypothesis / 3.3.2：

Power / 3.4：

The Variance Ratio Test for Large q / 3.4.1：

Power against a Stationary AR(1) Alternative / 3.4.2：

Two Unit Root Alternatives to the Random Walk / 3.4.3：

An Econometric Analysis of Nonsynchronous Trading / 3.5：

A Model of Nonsynchronous Trading / 4.1：

Implications for Individual Returns / 4.2.1：

Implications for Portfolio Returns / 4.2.2：

Time Aggregation / 4.3：

An Empirical Analysis of Nontrading / 4.4：

Daily Nontrading Probabilities Implicit in Autocorrelations / 4.4.1：

Nontrading and Index Autocorrelations / 4.4.2：

Extensions and Generalizations / 4.5：

Proof of Propositions / Appendix A4：

When Are Contrarian Profits Due to Stock Market Overreaction? / 5：

A Summary of Recent Findings / 5.1：

Analysis of Contrarian Profitability / 5.3：

The Independently and Identically Distributed Benchmark / 5.3.1：

Stock Market Overreaction and Fads / 5.3.2：

Trading on White Noise and Lead-Lag Relations / 5.3.3：

Lead-Lag Effects and Nonsynchronous Trading / 5.3.4：

A Positively Dependent Common Factor and the Bid-Ask Spread / 5.3.5：

An Empirical Appraisal of Overreaction / 5.4：

Long Horizons Versus Short Horizons / 5.5：

Long-Term Memory in Stock Market Prices / 5.6：

Long-Range Versus Short-Range Dependence / 6.1：

The Null Hypothesis / 6.2.1：

Long-Range Dependent Alternatives / 6.2.2：

The Rescaled Range Statistic / 6.3：

The Modified R/S Statistic / 6.3.1：

The Asymptotic Distribution of Q[subscript n] / 6.3.2：

The Relation Between Q[subscript n] and Q[subscript n] / 6.3.3：

The Behavior of Q[subscript n] Under Long Memory Alternatives / 6.3.4：

R/S Analysis for Stock Market Returns / 6.4：

The Evidence for Weekly and Monthly Returns / 6.4.1：

Size and Power / 6.5：

The Size of the R/S Test / 6.5.1：

Power Against Fractionally-Differenced Alternatives / 6.5.2：

Multifactor Models Do Not Explain Deviations from the CAPM / 6.6：

Linear Pricing Models, Mean-Variance Analysis, and the Optimal Orthogonal Portfolio / 7.1：

Squared Sharpe Measures / 7.3：

Implications for Risk-Based Versus Nonrisk-Based Alternatives / 7.4：

Zero Intercept F-Test / 7.4.1：

Testing Approach / 7.4.2：

Estimation Approach / 7.4.3：

Asymptotic Arbitrage in Finite Economies / 7.5：

Data-Snooping Biases in Tests of Financial Asset Pricing Models / 7.6：

Quantifying Data-Snooping Biases With Induced Order Statistics / 8.1：

Asymptotic Properties of Induced Order Statistics / 8.1.1：

Biases of Tests Based on Individual Securities / 8.1.2：

Biases of Tests Based on Portfolios of Securities / 8.1.3：

Interpreting Data-Snooping Bias as Power / 8.1.4：

Monte Carlo Results / 8.2：

Simulation Results for [theta subscript p] / 8.2.1：

Effects of Induced Ordering on F-Tests / 8.2.2：

F-Tests With Cross-Sectional Dependence / 8.2.3：

Two Empirical Examples / 8.3：

Sorting By Beta / 8.3.1：

Sorting By Size / 8.3.2：

How the Data Get Snooped / 8.4：

Maximizing Predictability in the Stock and Bond Markets / 8.5：

Motivation / 9.1：

Predicting Factors vs. Predicting Returns / 9.2.1：

Numerical Illustration / 9.2.2：

Empirical Illustration / 9.2.3：

Maximizing Predictability / 9.3：

Maximally Predictable Portfolio / 9.3.1：

Example: One-Factor Model / 9.3.2：

An Empirical Implementation / 9.4：

The Conditional Factors / 9.4.1：

Estimating the Conditional-Factor Model / 9.4.2：

The Maximally Predictable Portfolios / 9.4.3：

Statistical Inference for the Maximal R[subscript 2] / 9.5：

Monte Carlo Analysis / 9.5.1：

Three Out-of-Sample Measures of Predictability / 9.6：

Naive vs. Conditional Forecasts / 9.6.1：

Merton's Measure of Market Timing / 9.6.2：

The Profitability of Predictability / 9.6.3：

An Ordered Probit Analysis of Transaction Stock Prices / 9.7：

The Ordered Probit Model / 10.1：

Other Models of Discreteness / 10.2.1：

The Likelihood Function / 10.2.2：

The Data / 10.3：

Sample Statistics / 10.3.1：

The Empirical Specification / 10.4：

The Maximum Likelihood Estimates / 10.5：

Diagnostics / 10.5.1：

Endogeneity of [Delta]t[subscript k] and IBS[subscript k] / 10.5.2：

Applications / 10.6：

Order-Flow Dependence / 10.6.1：

Measuring Price Impact Per Unit Volume of Trade / 10.6.2：

Does Discreteness Matter? / 10.6.3：

A Larger Sample / 10.7：

Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices / 10.8：

Arbitrage Strategies and the Behavior of Stock Index Futures Prices / 11.1：

Forward Contracts on Stock Indexes (No Transaction Costs) / 11.1.1：

The Impact of Transaction Costs / 11.1.2：

Empirical Evidence / 11.2：

Data / 11.2.1：

Behavior of Futures and Index Series / 11.2.2：

The Behavior of the Mispricing Series / 11.2.3：

Path Dependence of Mispricing / 11.2.4：

Order Imbalances and Stock Price Movements on October 19 and 20, 1987 / 11.3：

Some Preliminaries / 12.1：

The Source of the Data / 12.1.1：

The Published Standard and Poor's Index / 12.1.2：

The Constructed Indexes / 12.2：

Buying and Selling Pressure / 12.3：

A Measure of Order Imbalance / 12.3.1：

Time-Series Results / 12.3.2：

Cross-Sectional Results / 12.3.3：

Return Reversals / 12.3.4：

Appendix A12 / 12.4：

Index Levels / A12.1：

Fifteen-Minute Index Returns / A12.2：

References

Index

List of Figures

List of Tables

Preface

Introduction / 1：

The Random Walk and Efficient Markets / 1.1：

The Current State of Efficient Markets / 1.2：

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