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Research


Data Snooping Biases in Tests of Financial Asset Pricing Models

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

When Are Contrarian Profits Due To Stock Market Overreaction?

1990
Review of Financial Studies 3 (1990), 175–205.
Craig MacKinlay

An Econometric Analysis of Nonsynchronous Trading

1990
Journal of Econometrics 45 (1990), 181–212.
Craig MacKinlay

Games of Survival in the Newspaper Industry

1989
Applied Economics 21 (1989), 631–650.
Randolph Bucklin and Richard Caves

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

1989
Journal of Econometrics 40 (1989), 203-238.
Craig MacKinlay

Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data

1988

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

1988
Review of Financial Studies 1 (1988), 41-66.
Craig MacKinlay

Semiparametric Upper Bounds for Option Prices and Expected Payoffs

1987

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

1986

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

1986

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