Publications


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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.

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.