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Research


Nontrading Effect

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

Empirical Issues in the Pricing of Options and Other Derivative Securities

1992

An Ordered Probit Analysis of Transaction Stock Prices

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

Long-Term Memory in Stock Market Prices

1991

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

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