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Author : Carmelo Giaccotto
Publisher :
ISBN 13 :
Total Pages : 394 pages
Book Rating : 4.:/5 (254 download)
Download or read book The Random Walk Hypothesis of Stock Market Prices Reconsidered written by Carmelo Giaccotto and published by . This book was released on 1978 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrew W. Lo
Publisher : Princeton University Press
ISBN 13 : 1400829097
Total Pages : 449 pages
Book Rating : 4.4/5 (8 download)
Download or read book A Non-Random Walk Down Wall Street written by Andrew W. Lo and published by Princeton University Press. This book was released on 2011-11-14 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Carmelo Giaccotto
Publisher :
ISBN 13 :
Total Pages : 788 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Random Hypothesis of Stock Market Prices Reconsidered written by Carmelo Giaccotto and published by . This book was released on 1978 with total page 788 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Arusha Cooray
Publisher :
ISBN 13 : 9781862951303
Total Pages : 18 pages
Book Rating : 4.9/5 (513 download)
Download or read book The Random Walk Behaviour of Stock Prices written by Arusha Cooray and published by . This book was released on 2003 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rodney Thomas Cox
Publisher :
ISBN 13 :
Total Pages : 102 pages
Book Rating : 4.:/5 (934 download)
Download or read book A Counter Example to the Random Walk Hypothesis of Stock Market Prices written by Rodney Thomas Cox and published by . This book was released on 1969 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : D. J. Jüttner
Publisher :
ISBN 13 : 9780858371293
Total Pages : 34 pages
Book Rating : 4.3/5 (712 download)
Download or read book The Random Walk Hypothesis and Stock Market Efficiency written by D. J. Jüttner and published by . This book was released on 1974 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Paul H. Cootner
Publisher : MIT Press (MA)
ISBN 13 :
Total Pages : 546 pages
Book Rating : 4.:/5 (321 download)
Download or read book The Random Character of Stock Market Prices written by Paul H. Cootner and published by MIT Press (MA). This book was released on 1967 with total page 546 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : André Bastiaan Dorsman
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.:/5 (633 download)
Download or read book On the Behaviour of Dutch Stock Market Prices and the Random Walk Hypothesis written by André Bastiaan Dorsman and published by . This book was released on 1981 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kausik Chaudhuri
Publisher :
ISBN 13 : 9781864873412
Total Pages : 15 pages
Book Rating : 4.8/5 (734 download)
Download or read book Random Walk Versus Breaking Trend in Stock Prices written by Kausik Chaudhuri and published by . This book was released on 2000 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mark A. Johnson
Publisher :
ISBN 13 :
Total Pages : 264 pages
Book Rating : 4.3/5 (9 download)
Download or read book The Random Walk and Beyond written by Mark A. Johnson and published by . This book was released on 1988-02-10 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: A lucid, witty, and intelligent guide to modern investment theory, the evidence for and against it, and how to translate theory into practical investment strategies. Explains the ``Random Walk'' or the Efficient Market Hypothesis and shows what it means, where it is true, where it is not -- and how investors can take advantage of the areas in which it is not true to earn greater profits without increased risk. Examines concepts of value, how the numbers can lie, diversification, market risk, out-of-favor stocks, little stocks and market timing. Forbes columnist Kenneth Fisher wrote of Johnson's book: ``Indispensable for those wanting to bypass Wall Street's most common dead ends.''
Author : Andrew Wen-Chuan Lo
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (154 download)
Download or read book Stock Market Prices Do Not Follow Random Walks written by Andrew Wen-Chuan Lo and published by . This book was released on 1987 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : A. Craig MacKinlay
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (874 download)
Download or read book Stock Market Prices Do Not Follow Random Walks written by A. Craig MacKinlay and published by . This book was released on 1989 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (1962-1985) and for all sub-periods for a variety of aggregate returns indexes and size-sorted portfolios. Although the rejections are largely due to the behavior of small stocks, they cannot be ascribed to either the effects of infrequent trading or time-varying volatilities. Moreover, the rejection of the random walk cannot be interpreted as supporting a mean-reverting stationary model of asset prices, but is more consistent with a specific nonstationary alternative hypothesis.
Author : Gregory Steven Stroup
Publisher :
ISBN 13 :
Total Pages : 142 pages
Book Rating : 4.:/5 (938 download)
Download or read book A Reconciliation of Economic Stock Price Theories with the Random Walk Hypothesis written by Gregory Steven Stroup and published by . This book was released on 1984 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing for the Random Walk Hypothesis and Structural Breaks in International Stock Prices written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dennis Bulla
Publisher :
ISBN 13 :
Total Pages : 6 pages
Book Rating : 4.:/5 (13 download)
Download or read book Random Walk Hypothesis in Emerging Stock Market written by Dennis Bulla and published by . This book was released on 2016 with total page 6 pages. Available in PDF, EPUB and Kindle. Book excerpt: Random walk theory explains the concept of efficient markets. The markets are described as efficient because they impound information whether private or public very quickly and reflect it in the prices of stocks traded. Investors therefore cannot outperform the markets based on the information gathered. Emerging stock markets have recorded mixed results with regard to their efficiency. Some scholars have argued that for these markets, efficiency is an evolving matter influenced by markets development. The study therefore examined whether the Nairobi Securities Exchange provides evidence of weak form efficiency for the period 2000-2009. This was done by conducting significance tests (at 0.05 level) for serial correlation and run tests to establish if security prices conform to random walk hypothesis. Results indicate that going by the evolving efficiency argument and contrary to prior period findings, the stock market price data pattern in this study yielded result that is consistent with the random walk hypothesis. Consequently, historical price information contained no useful information to use to beat the market in the period reviewed.
Author : Andrew W. Lo
Publisher : Turtleback Books
ISBN 13 : 9780613915908
Total Pages : 424 pages
Book Rating : 4.9/5 (159 download)
Download or read book A non-random walk down Wall Street written by Andrew W. Lo and published by Turtleback Books. This book was released on 2001-12-01 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: For 50 years, financial experts have regarded the movements of markets as a random walk, and this hypothesis has become a cornerstone of modern financial economics. Lo and MacKinlay put the random walk hypothesis to the test in this volume, which elegantly integrates their most important articles.
Author : Shunxin Jiang
Publisher : World Scientific Publishing Company Incorporated
ISBN 13 : 9789814641050
Total Pages : 182 pages
Book Rating : 4.6/5 (41 download)
Download or read book More Evidence Against the Random Walk Hypothesis written by Shunxin Jiang and published by World Scientific Publishing Company Incorporated. This book was released on 2015 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The book is useful and interesting reading for academics, professionals and students in finance." Zentralblatt MATH This volume provides more evidence against the Random Walk Hypothesis and offers insights into market inefficiency through systematically trading exchange-traded funds (ETFs). The book is organized to answer the following three questions: Do ETF prices follow random walks? If not, what are some of the factors that impact their non-random walk behavior? How can investors take advantage of such price dynamics in trading ETFs?
