Publications

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

1995
Heaton, John, and Andrew W. Lo (1995), Securities Transaction Taxes: What Would Be Their Effects on Financial Markets and Institutions?, In Securities Transaction Taxes: False Hopes and Unintended Consequences, edited by Suzanne Hammond, 58–109.

Implementing Option Pricing Models When Asset Returns Are Predictable

1995
Lo, Andrew W., and Jiang Wang (1995), Implementing Option Pricing Models When Asset Returns Are Predictable, Journal of Finance 50 (1), 87–129.

Data-Snooping Biases in Financial Analysis

1994
Lo, Andrew W. (1994), Data-Snooping Biases in Financial Analysis, In Blending Quantitative and Traditional Equity Analysis, edited by H. Russell Fogler, 59–66.

Neural Networks and Other Nonparametric Techniques in Economics and Finance

1994
Lo, Andrew W. (1994), Neural Networks and Other Nonparametric Techniques in Economics and Finance, In Blending Quantitative and Traditional Equity Analysis, edited by H. Russell Fogler, 25–36.

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

1994
Hutchinson, James M., Andrew W. Lo, and Tomaso Poggio (1994), A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks, Journal of Finance 49 (3), 851–889.

Non-Trading Effect

1992
Lo, Andrew W., and A. Craig MacKinley (1992), Non-trading Effect, In New Palgrave Dictionary of Money and Finance, edited by Peter Newman, Murray Milgate, and John Eatwell.

Empirical Issues in the Pricing of Options and Other Derivative Securities

1992
Lo, Andrew W. (1992), Empirical Issues in the Pricing of Options and Other Derivative Securities, Cuadernos Economicos de ICE 50, 129–155.

An Ordered Probit Analysis of Transaction Stock Prices

1992
Hausman, Jerry A., Andrew W. Lo, and A. Craig MacKinlay (1992), An Ordered Probit Analysis of Transaction Stock Prices, Journal of Financial Economics 31 (3), 319–379.

Long-Term Memory in Stock Market Prices

1991
Lo, Andrew W. (1991), Long-Term Memory in Stock Market Prices, Econometrica 59 (5), 1279–1313.

Data Snooping Biases in Tests of Financial Asset Pricing Models

1990
Lo, Andrew W., and A. Craig MacKinlay (1990), Data-Snooping Biases in Tests of Financial Asset Pricing Models, Review of Financial Studies 3 (3), 431–467.

When Are Contrarian Profits Due To Stock Market Overreaction?

1990
Lo, Andrew W., and A. Craig MacKinlay (1990), When Are Contrarian Profits Due to Stock Market Overreaction?, Review of Financial Studies 3 (2), 175–205.

An Econometric Analysis of Nonsynchronous Trading

1990
Lo, Andrew W., and A. Craig MacKinlay (1990), An Econometric Analysis of Nonsynchronous Trading, Journal of Econometrics 45 (1–2), 181–211.

Games of Survival in the Newspaper Industry

1989
Bucklin, Randolph E., Richard E. Caves, and Andrew W. Lo (1989), Games of Survival in the US Newspaper Industry, Applied Economics 21 (5), 631–649.

The Size and Power of the Variance Ration Test in Finite Samples: A Monte Carlo Investigation

1989
Lo, Andrew W., and A. Craig MacKinlay (1989), The Size and Power of the Variance Ratio Test in Finite Samples. A Monte Carlo Investigation, Journal of Econometrics 40 (2), 203–238.

Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data

1988
Lo, Andrew W. (1988), Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data, Econometric Theory 4 (2), 231–247.