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 |