Research


Securities Transaction Taxes: What Would Be Their Effects on Financial Markets and Institutions?

with John Heaton, False Hopes and Unintended Consequences, edited by Suzanne Hammond, 1995. Chicago, IL: Catalyst Institute

View abstract

Implementing Option Pricing Models When Asset Returns Are Predictable

with Jiang Wang, Journal of Finance 50 (1995), 87–129.

View abstract

Data-Snooping Biases in Financial Analysis

Blending Quantitative and Traditional Equity Analysis, edited by H. Russell Fogler, 1994. Charlottesville, VA: Association for Investment Management and Research

View abstract

Neural Networks and Other Nonparametric Techniques in Economics and Finance

Blending Quantitative and Traditional Equity Analysis, edited by H. Russell Fogler, 1994. Charlottesville, VA: Association for Investment Management and Research.

View abstract

A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks

with James Hutchinson and Tomaso Poggio, Journal of Finance 49 (1994), 851-889.

View abstract

Nontrading Effect

with Craig MacKinlay, New Palgrave Dictionary of Money and Finance, 1992, London: Stockton Press

View abstract

Empirical Issues in the Pricing of Options and Other Derivative Securities

Cuadernos Economicos de ICE 50 (1992), 129–155.

View abstract

An Ordered Probit Analysis of Transaction Stock Prices

with Craig MacKinlay and Jerry Hausman, Journal of Financial Economics 31 (1992), 319–379.

View abstract

Long-Term Memory in Stock Market Prices

Econometrica 59 (1991), 1279–1313.

View abstract

Data Snooping Biases in Tests of Financial Asset Pricing Models

with Craig MacKinlay, Review of Financial Studies 3 (1990), 431–468.

View abstract

Follow me on © 2017 Andrew W. Lo, MIT Sloan School of Management. All rights reserved.
Design by: Opus Design