Research


What Do Humans Perceive in Asset Returns?

with Jasmina Hasanhodzic and Emanuele Viola, Hasanhodzic, Jasmina, Andrew W. Lo, and Emanuele Viola (2019), What Do Humans Perceive in Asset Returns?, Journal of Portfolio Management 45 (4), 49–60.

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Privacy-Preserving Methods for Sharing Financial Risk Exposures

Abbe, Emmanuel A., Amir E. Khandani, and Andrew W. Lo (2012), Privacy-Preserving Methods for Sharing Financial Risk Exposures, American Economic Review 102 (3), 65–70.

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Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

Billio, Monica, Mila Getmansky, Andrew W. Lo, and Loriana Pelizzon (2012), Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, Journal of Financial Economics 104 (3), 535–559.

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Reading About the Financial Crisis: A Twenty-One-Book Review

Lo, Andrew W. (2012), Reading about the Financial Crisis: A Twenty-One-Book Review, Journal of Economic Literature 50 (1), 151–178.

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When Are Contrarian Profits Due To Stock Market Overreaction?

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.

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An Econometric Analysis of Nonsynchronous Trading

Lo, Andrew W., and A. Craig MacKinlay (1990), An Econometric Analysis of Nonsynchronous Trading, Journal of Econometrics 45 (1–2), 181–211.

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Games of Survival in the Newspaper Industry

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.

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

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.

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

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.

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Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data

Lo, Andrew W. (1988), Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data, Econometric Theory 4 (2), 231–247.

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