Publications

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988
Lo, Andrew W., and A. Craig MacKinlay (1988), Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test, Review of Financial Studies 1 (1), 41–66.

Semiparametric Upper Bounds for Option Prices and Expected Payoffs

1987
Lo, Andrew W. (1987), Semi-Parametric Upper Bounds for Option Prices and Expected Payoffs, Journal of Financial Economics 19 (2), 373–387.

Statistical Tests of Contingent-Claims Asset-Pricing Models: A New Methodology

1986
Lo, Andrew W. (1986), Statistical Tests of Contingent-Claims Asset-Pricing Models: A New Methodology, Journal of Financial Economics 17 (1), 143–173.

Logit Versus Discriminant Analysis: A Specification Test with Applications to Corporate Bankruptcies

1986
Lo, Andrew W. (1986), Logit versus Discriminant Analysis. A Specification Test and Application to Corporate Bankruptcies, Journal of Econometrics 31 (2), 151–178.

A Large-Sample Chow Test for the Single Linear Simultaneous Equation

1985
Lo, Andrew W., and Whitney K. Newey (1985), A Large-Sample Chow Test for the Linear Simultaneous Equation, Economics Letters 18 (4), 351–353.