Books

A Non-Random Walk Down Wall Street|Buy the Book
with A. Craig MacKinlay, Princeton, NJ: Princeton University Press
1999

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Market Efficiency: Stock Market Behaviour In Theory and Practice, Volumes I & II|Buy the Book
Cheltenham, UK: Edward Elgar Publishing Ltd.
1997

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The Econometrics of Financial Markets|Buy the Book
with John Y. Campbell and A. Craig MacKinlay, Princeton, NJ: Princeton University Press
1997

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The Industrial Organization and Regulation of the Securities Industry|Buy the Book
Chicago, IL: The University of Chicago Press
1995

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