A Non-Random Walk Down Wall Street:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Princeton, N.J.
Princeton University Press
2002
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| Schlagworte: | |
| Online-Zugang: | Volltext Volltext |
| Beschreibung: | Biographical note: Andrew W. Lo is the Harris & Harris Group Professor of Finance at the Sloan School of Management, Massachusetts Institute of Technology. A. Craig MacKinlay is Joseph P. Wargrove Professor of Finance at the Wharton School, University of Pennsylvania. With John Y. Campbell, they are the authors of "The Econometrics of Financial Markets" (Princeton), which received the Paul A. Samuelson Award in 1997 Main description: 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 |
| Beschreibung: | 1 Online-Ressource (448 S.) |
| ISBN: | 9781400829095 |
| DOI: | 10.1515/9781400829095 |
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| isbn | 9781400829095 |
| language | English |
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| spelling | MacKinlay, A. Craig Verfasser aut A Non-Random Walk Down Wall Street Princeton, N.J. Princeton University Press 2002 1 Online-Ressource (448 S.) txt rdacontent c rdamedia cr rdacarrier Biographical note: Andrew W. Lo is the Harris & Harris Group Professor of Finance at the Sloan School of Management, Massachusetts Institute of Technology. A. Craig MacKinlay is Joseph P. Wargrove Professor of Finance at the Wharton School, University of Pennsylvania. With John Y. Campbell, they are the authors of "The Econometrics of Financial Markets" (Princeton), which received the Paul A. Samuelson Award in 1997 Main description: 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 Irrfahrtsproblem (DE-588)4162442-7 gnd rswk-swf Aktienkurs (DE-588)4141736-7 gnd rswk-swf Aktienkurs (DE-588)4141736-7 s Irrfahrtsproblem (DE-588)4162442-7 s 1\p DE-604 Lo, Andrew W. Sonstige oth https://doi.org/10.1515/9781400829095 Verlag Volltext http://www.degruyter.com/search?f_0=isbnissn&q_0=9781400829095&searchTitles=true Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | MacKinlay, A. Craig A Non-Random Walk Down Wall Street Irrfahrtsproblem (DE-588)4162442-7 gnd Aktienkurs (DE-588)4141736-7 gnd |
| subject_GND | (DE-588)4162442-7 (DE-588)4141736-7 |
| title | A Non-Random Walk Down Wall Street |
| title_auth | A Non-Random Walk Down Wall Street |
| title_exact_search | A Non-Random Walk Down Wall Street |
| title_full | A Non-Random Walk Down Wall Street |
| title_fullStr | A Non-Random Walk Down Wall Street |
| title_full_unstemmed | A Non-Random Walk Down Wall Street |
| title_short | A Non-Random Walk Down Wall Street |
| title_sort | a non random walk down wall street |
| topic | Irrfahrtsproblem (DE-588)4162442-7 gnd Aktienkurs (DE-588)4141736-7 gnd |
| topic_facet | Irrfahrtsproblem Aktienkurs |
| url | https://doi.org/10.1515/9781400829095 http://www.degruyter.com/search?f_0=isbnissn&q_0=9781400829095&searchTitles=true |
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