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Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
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 isExpand
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Long-Term Memory in Stock Market Prices
  • A. Lo
  • Economics, Mathematics
  • 1 May 1989
A test for long-run memory that is robust to short-range dependence is developed. It is a simple extension of Mandelbrot's "range over standard deviation" or R/S statistic, for which the relevantExpand
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Nonparametric estimation of state-price densities implicit in financial asset prices
TLDR
We construct an estimator for Arrow-Debreu state prices implicit in financial asset prices and derive an asymptotic sampling theory for this estimator to gauge its accuracy. Expand
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Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors
We propose several econometric measures of connectedness based on principal-components analysis and Granger-causality networks, and apply them to the monthly returns of hedge funds, banks,Expand
  • 1,367
  • 175
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The Econometrics of Financial Markets
This book is an ambitious effort by three well-known and well-respected scholars to fill an acknowledged void in the literature—a text covering the burgeoning field of empirical finance. As theExpand
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  • 161
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Nonparametric Risk Management and Implied Risk Aversion
Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical distributions of market prices. Such quantities do not account for the fact thatExpand
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  • 149
The Adaptive Markets Hypothesis
  • A. Lo
  • Economics
  • 31 January 2004
One of the most influential ideas in the past 30 years is the efficient markets hypothesis, the idea that market prices incorporate all information rationally and instantaneously. The emergingExpand
  • 869
  • 116
  • PDF
When are Contrarian Profits Due to Stock Market Overreaction?
The profitability of contrarian investment strategies need not be the result of stock market overreaction. Even if returns on individual securities are temporally independent, portfolio strategiesExpand
  • 1,715
  • 114
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The Statistics of Sharpe Ratios
  • A. Lo
  • Economics
  • 1 July 2002
The building blocks of the Sharpe ratio—expected returns and volatilities—are unknown quantities that must be estimated statistically and are, therefore, subject to estimation error. This raises theExpand
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  • 98
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An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns
The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equityExpand
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