| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w2168 |
| 来源ID | Working Paper 2168 |
| Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test | |
| Andrew W. Lo; A. Craig MacKinlay | |
| 发表日期 | 1987-02-01 |
| 出版年 | 1987 |
| 语种 | 英语 |
| 摘要 | 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. |
| URL | https://www.nber.org/papers/w2168 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/559422 |
| 推荐引用方式 GB/T 7714 | Andrew W. Lo,A. Craig MacKinlay. Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test. 1987. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w2168.pdf（385KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
