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Research


The Industrial Organization and Regulation of the Securities Industry

1996
Lo, Andrew W. (1996), The Industrial Organization and Regulation of the Securities Industry, edited volume, University of Chicago Press.

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.

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.

© 2020 Andrew W. Lo, MIT Sloan School of Management. All rights reserved.